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Asset Backed Securities Model Validation - Triton Square
September 15, 2018
London, United Kingdom
Grow with a company that puts customers first
In this role you will independently review material models developed across the bank, highlighting areas of model risk and providing indications as to the magnitude of the risks found.
We're passionate about helping people and businesses prosper and we strive to be simple, personal and fair in everything we do. That's why we've built a culture of respect, where everyone is empowered to keep their promises and go above-and-beyond for our customers, colleagues and the communities we serve.
As an Asset Backed Securities Model Validation your main responsibilities will be
Validate models used for the pricing and risk management of Asset-Backed Securities (ABSs)
Analyse and validate standard and bespoke ABS models addressing default projections, cash flow generation and complex waterfall structures
Analyse parameter sensitivity and robustness of key features of custom-made ABSs (prepayment, expected loss, rating, value)
Evaluate credit quality of underlying loan collateral in ABS and MBS pools and perform cash flow stress analyses
Contribute to the development of analytics to assess cash flows of pool of securitized assets and the valuation and risk of ABS, RMBS, CLO position
Develop quantitative tools and metrics for structured credit portfolio risk analysis and validation
Conduct various tests to assure the effectiveness of the development and perform replication whenever possible
Model risk assessment based on input data, theoretical soundness, IT, model performance, use, control and processes, sensitivity and scenario analysis
Minimum skills and experience required
Previous ABS, RMBS, CLO or Credit Derivatives markets experience and knowledge of securitisation practices from portfolio management or securities valuations
Familiarity with a wide range of risk and financial performance analyses, cash flow forecasting and sensitivity analysis, and contacts within the ABS market is desirable
Postgraduate level education in a quantitative discipline- Ph.D. in Mathematics, Physics or similar numerate subject would be desirable.
Familiarity with model risk management, model governance and knowledge of Basel regulation
Knowledge of Python and Matlab, SQL, VBA, R, C++, Latex, git and/or any other programming language
Salary is competitive
For your commitment and success, Santander offers a competitive basic salary with a distinct career development opportunity. In addition to your salary and bonus, we offer you a benefits package that's flexible and allows you to be in control, as well as all the policies, tools and guidance to support you.
Other Santander benefits include:
Pension with generous contributions from Santander
30 days' holiday plus bank holidays, with the option to purchase up to 5 contractual days per year
£6,000 car allowance per year
Company funded Individual Private medical Insurance
Voluntary healthcare benefits at discounted rates such as Private medical insurance for your family, Dental insurance, Healthcare Cash Plan and Health assessments
24/7 access to an online employee discount platform. Save money on everything from groceries, electronics, fashion, holidays and much more
Benefits supporting you and your family, such as Childcare vouchers, voluntary Life assurance and Critical illness
Access to an All Employee car scheme
Excellent employee recognition schemes, be recognised for demonstrating great behaviours
Share in Santander's success by investing in our Sharesave and Partnership shares plans
Support your favourite causes through charitable giving and our community partnerships
Our Triton Square office in London is conveniently located within walking distance from Euston Station and Warren Street Station. It's one of our biggest offices in the UK and is home to a range of key functions for the bank from Marketing, Finance and Risk to Digital and HR. With an onsite gym, restaurant, coffee shop and banking facilities, the atmosphere is a vibrant one with plenty of opportunities to socialise and get involved in local community and charity work.
We'll give you more than a job, we'll give you a purpose - to help people and businesses prosper.
Our aim is to be the best bank for our people, customers, shareholders and communities and we're making it happen by focusing on the behaviours that bring everyone together. By bringing passion, talking straight, embracing change, showing respect, speaking up, keeping promises, giving support, truly listening and actively collaborating, we believe we can really make a difference.
We've created an environment where we always put people first, that's why we offer flexible work options to help you do your job in a way that suits you. Whatever your unique ambitions, you'll have plenty of room to grow, with tailored training and development opportunities and a wide range of benefits designed to suit your lifestyle. What's more, we'll also support you in making a difference through our volunteering and fundraising schemes. Our commitment to our people hasn't gone unnoticed and we've been listed as one of Britain's Top Employers by the Top Employers Institute since 2012.
Time to apply
If this sounds like a role you're interested in then please apply on the link below.