WHAT YOU WILL BE DOING
To support the model risk management, our team performs model risk assessments, checking the data used, theory, implementation, performance and use of the model. Our team produces technical reports and presentations that are presented through governance. In addition, tools and libraries are internally developed.
The scope of models is diverse covering: Valuation: Fair Value, FVAs, AVAs, XVAs, Counterparty Credit Risk: PFE, LGD, Initial Margin, Pension Risk: Liability valuation, VaR, Stress test, operational Risk
The difference you will make.
- Independently validate a wide variety of models following word ethics of the department and meeting deadlines. Develop models, analyse data and performance. Reviewing and producing technical documentation.
- Keeping an eye on latest regulation, modelling approaches, techniques and tools. Ensuring adherence to relevant regulation, company policies and guidelines.
- Monitoring model deficiencies, issuing and managing recommendations to address them.
- Being proactive in management of model risk, getting involved in the review of new initiatives that might involve models.
- Coaching and/or managing analysts within the team. Present work performed to different stakeholders.
More than 5 years of relevant work
Doctor of Engineering(PHE), Doctor of Science(PHS), Master of Engineering(ME), Masters of Science (MS)
- Accuracy and Attention to Detail (Working Knowledge)
- Automation (Basic Understanding)
- Business translation (Working Knowledge) Communicating Complex Concepts (Working Knowledge)
- Conceptual Thinking (Extensive Experience)
- Counterparty Credit Risk (Working Knowledge)
- Data and AI Ethics (Working Knowledge)
- Data Mining (Basic Understanding)
- Financial Forecasting and Modeling (Extensive Experience)
- Financial Instruments (Working Knowledge)
- Machine Learning (Working Knowledge)
- Market Risk
- Mathematics of Financial Instruments (Working Knowledge)
- Operational Risk
- Pricing Models and Analytics (Extensive Experience)
- Programming (Extensive Experience)
- Software Development
- Statistical Analysis and Measurement (Working Knowledge)
- Statistics and Actuarial Modeling (Extensive Experience)
- Teamwork (Extensive Experience)
- Technical Writing/Documentation (Extensive Experience)
It would be nice for you to also have.
- Advance knowledge of Python, and some other programming languages.
- Producing technical documentation with LaTeX
- Working knowledge of gitlab or github.
- Being familiar with Docker
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.