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EMEA - Corporate Risk – Model Risk – Portfolio Review – VP/ED – London

Job Description

Model Risk Group (MRG) carries out the review of models used across the firm. The group assesses and helps mitigate the model risk of complex models used in the context of valuation, risk measurement, the calculation of capital, and more broadly for decision-making purposes.

 

MRG partners with Risk and Finance professionals and works closely with FO quants as well as traders. Team members have opportunities for exposure to a variety of business areas.

 

Core responsibilities:

• Carry out portfolio reviews: analysis of the risk model risk framework for the trading books including  pricing models & their calibration, risk aggregation, and reserve methodologies; assess model behaviour and suitability of pricing models/engines to particular products/structures;

• Develop and implement alternative model benchmarks and compare the outcome of various models; Design model performance metrics for trading books;

• Liaise with FO quants, Traders, Risk and Valuation Control Groups and provide guidance on model risk.

Qualifications/ Core requirements:

 

• Good analytical, quantitative and problem-solving skills;

• Inquisitive nature, ability to ask right questions and escalate issues, excellent communication skills (written and verbal);

Experience with exposure to at least one or more of the following areas; Trading, Portfolio Management, Structuring, Market Risk and Quantitative Research;

All internal moves will normally take place on the same grade and same salary. Salaries are reviewed annually in February. Exceptions to the rule regarding transfer on current salary may include a move between geographic locations.

Req #: 160029885
Location: London, ENG GB
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: Pound Sterling (GBP)

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