Treasury Model Risk - Senior Manager

Recruiter
Morgan McKinley
Location
London, United Kingdom
Salary
Competitive
Posted
15 Nov 2022
Closes
27 Nov 2022
Ref
17750434
Job Function
Compliance/Regulatory
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Summary
  • London
  • Permanent
  • BBBH834000
  • Nov 11, 2022
  • Competitive

Job Description
Global investment bank seeks a Senior Manager level Model risk quant responsible for IRRBB model validations. Role will combine qualitative, quantitative and leadership skills.

As a Treasury Models Senior Manager, you will work as part of our Independent Validation Unit and be accountable for IRRBB model validations. Your role will combine qualitative, quantitative and leadership skills to propose approval decisions, identify key issues and suggest viable remediation actions. It's an opportunity to communicate your results at different forums and with exposure to senior stakeholders. This is an exciting role in a supportive team.

What will you be doing?
* Appling your detailed knowledge and understanding of internal policies and standards to define and support the assessment of Model risk
* Leading validations of models in data quality, assumptions and limitations, model design and conceptual soundness, implementation, performance results, benchmarking etc
* Building challenger models (if needed) to assist the validation review and challenge process for all new and existing models
* You will conduct underlying work that will require detailed examination of data, documents, and coding knowledge
* Producing high quality model validation reports and presentations to satisfy relevant model governance requirements
* Reporting with a particular focus on noting limitations, weaknesses, and assumptions, reviewing reports and presentations coming from the team to ensure high level of standard
* You will distinguish which issues are material and manage the model risk accordingly
* Creating and maintaining the correct information in the Group model database for the set of validated models

What we're looking for:
* Highly quantitative with excellent working knowledge of Financial Mathematics and Statistics, a degree in quantitative subject or significant equivalent experience
* IRRBB expert with knowledge of large gamut of Banking Book and Treasury products, relevant pricing models and both explicit and implicit embedded risks in them
* Experience in model specification, model selection, model testing and/or validation roles
* Highly organized in terms of documentation and follow through, excellent writing, reviewing/editing and presentation skills

Skills that will help you in the role:
* Experience with behavioral modelling
* Knowledge of applicable European and US IRRBB regulation is a plus
* Experience of coding using Matlab/R/SQL/C++/Python or equivalent language/software

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

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