Model Risk Manager - Stress Testing
Job Title: Model Risk Manager - Stress Testing
Corporate Title: Director
You'll be joining The Model Risk Management (MoRM) team, which provides independent oversight of the models used across the Bank and provides a holistic view to senior managers. MoRM is responsible for the independent review and risk analysis as well as governance activities.
- Independently reviewing and challenging the methodologies used to stress the market data feeding pricing models, spanning recalibration, shock smoothening methodologies and more
- Reviewing, analysing and challenging the mathematical/theoretical soundness of the model, check independently its robustness, the correctness of its implementation, and its applicability to the products and the associated risks that are inherent with the specific modelling approach
- Taking responsibility for translating the model risk principle requirements into implementable activities, such as testing approach and risk assessment
- Engaging with model developers and owners and drive model risk reduction activities end-to-end
- Communicating in a structured manner with wider model risk stakeholders on every aspect of the model life cycle, eg model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc
- Actively engaging in the on-going review of model performance and applicability as well as the validation and review of model changes
- Supervising team members and communicate concisely both to peers and senior management
Skills and Qualifications:
- Educated to Bachelor's degree level or equivalent qualification/relevant work experience (Masters degree would be beneficial)
- Experience in model validation, other quantitative risk management role or Front Office quantitative discipline
- Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods and statistical methods
- Strong understanding in financial markets (especially derivative pricing), demonstrated by qualifications and experience
- A deep understanding of stress testing, both in terms of modelling challenges and in scenario design as well as the operating model and process
- Experience in coding in Python in a managed codebase or equivalent languages
Diversity, inclusion and mutual respect are essential elements of who we are. These values define the working environment we strive to create - engaging, supportive and welcoming of different views. We believe innovation stems from intellectual curiosity alongside the right mix of skills and talents. Therefore, we embrace a culture reflecting a variety of perspectives, insights and backgrounds. The company promotes equality of opportunity and encourages the development of all employees to their full potential. We are open to agile working arrangements - talk to us about flexibility and other initiatives we offer.
We are an equal opportunities employer who seeks to recruit and appoint the best available person for a job regardless of age, disability, gender reassignment, marriage or civil partnership, pregnancy or maternity, race (which includes colour, nationality and national or ethnic origins), religion or belief, sex or sexual orientation. We aim to treat all employees in a fair and consistent manner, promote good working relationships to encourage high standards of conduct and performance within a work environment free from harassment, bullying and discrimination.
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