Senior Model Validator - Treasury

Competitive
Permanent
London
13 May 2019
BBBH730127

Global investment banks seeks VP level Model Validation Quant to cover Treasury and Liquidity models.

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. MoRM is responsible for the independent review and risk analysis as well as governance activities.

Key Responsibilities:

  • Being independently reviewing and challenging the methodologies used to assess the impact of interest rate movements to the Bank's earnings and capital, as well as liquidity stress testing / funding models
  • Reviewing and challenging the mathematical/theoretical soundness of the model, checking independently its implementation, and assessing its suitability for the quantity modelled
  • Contributing to translating the model risk principle requirement into implementable activities such as testing approach and augment as required, using own expertise in the model
  • Engaging with model developers and owners and communicating in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g. model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc
  • Engaging in the on-going review of model performance and applicability as well as the validation and review of model changes
  • Supervising and mentoring junior team members as required

Skills & Qualifications:

  • Educated to Bachelor's degree level or equivalent qualification/relevant work experience
  • Experience in model validation, other quantitative risk management role or Front Office quantitative discipline
  • Solid knowledge of key methodologies for balance sheet modelling (including modelling of non-maturing deposits and behavioral options), as well as asset and liability management activities and associated risk drivers (including liquidity / funding stress testing)
  • Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms and statistical methods
  • Strong understanding in financial markets, demonstrated by qualifications and experience
  • 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.

Similar Jobs

Alex Riedl's picture
Senior Consultant | Risk Management Recruitment
London + 44 20 7092 0103 | ariedl@morganmckinley.co.uk