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My client a global investment bank is currently recruiting for a Model Risk Manager to join them on a permanent basis in London. You'll be 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.
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:
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
Educated to Bachelor's degree level or equivalent qualification/relevant work experience (Masters degree would be beneficial)