Model Risk Stress Testing Team Head -Director

19 Jun 2019

Global investment bank seeks Director level Team head for its Model Risk Stress Testing team.

You'll be joining The Model Risk Management team, which provides independent oversight of the models used across the Bank and provides a holistic view to senior managers. It is responsible for the independent review and risk analysis as well as governance activities.

Key Responsibilities:

  • 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 lifecycle, e.g. 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

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.

Alex Riedl's picture
Senior Consultant | Risk Management Recruitment
London + 44 20 7092 0103 |