About Traded Risk IVU
The Traded Risk Models IVU team is responsible for the quantitative review and challenge across pricing models, market risk models, counterparty credit risk models and finance valuation control models and is part of the wider IVU team within the Model Risk Management function.
Model Risk Management (MRM) is a new function reporting directly to the Group Chief Risk Officer and responsible for the identification, assessment, monitoring and management of model risk within the business.
Model risk is the potential for adverse consequences from decisions based on incorrect or misused model outputs. Models are defined broadly in the Group Model Risk Policy to encompass all methods, systems or approaches that apply statistical, economic financial or mathematical theories, techniques and assumptions to process inputs into quantitative outputs. Models are recorded in the Group Model Database. MRM is currently responsible for approving in excess of 1000 models.
The function covers both the independent validation of the buisness' models and model governance and controls.
We are an equal opportunity employer and we are opposed to discrimination on any grounds.
Overall purpose of role
The role holder will be primarily responsible for performing and documenting analysis and testing of market risk models and counterparty credit risk models.
* The role holder will be responsible for independently performing and documenting analysis and testing of market risk models and counterparty credit risk models, as well as performing and documenting reviews of other model types, including pricing models and finance valuation control models, when required.
* The role holder will be expected to assist in the timely delivery of valuation model uncertainty analysis for quarterly model risk reporting, when required.
* The role holder will be expected to negotiate and agree workload prioritisation within the team as well as with other stakeholders.
* The role holder will be expected to justify and defend their analyses and conclusions.
* The role holder will be expected to contribute toward the continuous innovation and improvement in efficiency and effectiveness of processes within the asset-class group, including discussion of overall team strategy.
Stakeholder Management and Leadership
* The role holder will collaborate with all model stakeholders: Front Office, Quantitative Analytics, Market Risk, Counterparty Credit Risk, Line Product Control, Independent Valuation Control, and Regulatory Liaison as well as other parts of the Traded Risk IVU team.
* The role holder will set an example for more junior team members as well as work collaboratively and share knowledge across the team.
* The role holder will be expected to clearly and concisely communicate complex ideas and concepts to a range of audiences in a variety of circumstances.
Decision-making and Problem Solving
* The role holder will have a highly rational & logical thought process with a strong attention to detail.
* The role holder will be expected to solve complex problems, both quantitative and qualitative in nature.
Risk and Control Objective
Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards.
* The ideal candidate will have a postgraduate level education in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance.
* The ideal candidate will have proven ability to understand a variety of pricing modelling approaches and their strengths & weaknesses as well as independently performing and documenting quantitative testing and analyses.
* The ideal candidate will have extensive programming experience, for example VBA, C++.
* The ideal candidate will have experience of working on projects together with more junior team members.
* The ideal candidate will have strong verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances, for example a cross asset class group within a team presentation setting.
* The ideal candidate will be a team player with excellent communication skills who is comfortable working against tight short-term deadlines in a dynamic environment.
* The ideal candidate will have a highly rational & logical thought process with a strong attention to detail.
* The ideal candidate will be able to understand the principles behind the role purpose and responsibilities as well as the wider business context in which those responsibilities exist.