Summary: A Leading Tier 1 Global Investment Bank is looking to further strengthen their Market Treasury Risk Stress Testing team, where you will be tasked with developing and enhancing the banks models and methods used to measure and analyse Risk (inc. for all risk types including market, credit and operational). You will be expected to manage a team and be responsible for planning, budgeting and policy formation across the Risk function.
- Ability to Develop, enhance and validates the methods of measuring and analysing risk (inc. market, credit and operational) as well as both scoring models and scoring model related policies.
- Responsible for Managing model risk across the entire model life-cycle including model validation, Model Governance, the ongoing performance evaluation and annual model reviews.
- Carryout in depth analysis and reporting that will be used to assess risk across the bank and to assist in the implementation of a robust risk framework.
- Assist the Quants, Risk and IT teams in the design, development and implementation is engines for analytic purposes for all product lines.
- Manage stakeholder interaction with model developers and business owners during the model life-cycle with the aim of achieving business results.
- Present Model Validation Findings to senior management, senior stakeholders and supervisory bodies across the business
- Ability to challenge and provide recommendations for change to model assumptions, mathematical formula and the implementation process - ensuring all tasks are actioned.
- Ability to quantify and assess model risk from the analysis of the banks model limitations and provide a detailed report of recommendations to mitigate risk and enhance controls
- MSc or a PhD in Finance, Economics, Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
- 6-10 years' experience within Model Validation, Model Development, Treasury or a Risk Stress-testing position, with the ability to apply your quantitative experience in a Risk Management role.
- Proficient in SAS, Python, R, SQL, capable of building and testing prediction models, handling large data sets and for analysis purposes.
- Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
- Demonstrated project management and organisational skills and capability to handle multiple projects at one time
- Previous experience managing a team and supporting/developing junior members of the team.
- Strong communication skills and previous stakeholder experience.