Snr Model Risk Quant, Counterparty Credit Risk (CCR), VP

  • Circa £110k + Bonus + Plus Benefits
  • London, England, United Kingdom
  • Permanent, Full time
  • Millar Associates
  • 16 Aug 17

This truly global, top-tier banking group's Model Risk Group reviews models used across the firm and helps mitigate the model risk of complex models used for valuation, risk measurement, capital, and FO decision-making. They now seek a senior Model Risk Quant for models used to value and risk manage Counterparty Credit Risk (CCR) across large, cross-asset.derivatives trading portfolios.

KEY RESPONSIBILITIES:

  • Carry out model validation for model risk for models used to value and risk manage CCR & RWA
  • Model Review: Evaluate the conceptual soundness of pricing engines, reasonableness of assumptions., consistency of approach, completeness of testing, correctness of the implementation
  • Model Risk: measure on-going model performance, limitations, parameter estimation errors, with alternative model benchmarks
  • Liaise with FO Quants, Traders, Market Risk & Valuation Control to understand model usage and models’ fit-for-purpose for specific portfolios and netting
  • Liaise with modelling teams to provide feedback on model improvements
  • Liaise with Regulators on independent review related matters
  • Present to regional forums on model related issues

KEY SKILLS AND EXPERIENCE:

  • 3-7 years’ experience in quantitative research, model development or model validation of derivative pricing or capital models in a financial institution
  • Good understanding of counterparty risk space and models used to compute CCR in complex derivatives
  • Knowledge of some of the following: RWA, PFE, CVA VaR, CRD4, and IRC analytics is desirable
  • Matlab and R. C++ desirable but not essential
  • Excellent communication skills
  • PhD or MSc degree in a quantitative area (Math Finance, Applied Math, Physics, Engineering, Statistics/Econometrics or similar)