Market risk Model Review - VP

The Model Review Group within Market Risk Department is responsible for performing the Firm's independent model risk review function. The Group covers models for risk and P&L computation of financial instruments used by business units, including Institutional Securities Group, Global Wealth Management, Treasury and so forth. In addition, it covers models used for Basel regulatory capital calculations, particularly CVA/IMM related models.

The position is for a quantitative analyst with at least five years direct experience in exotic derivative modelling in a Banking environment. There is no specific asset class requirement, though significant experience in CVA/IMM is a prerequisite. The position reports to the EMEA Head of Model Review Group and forms an integral part of the Global team, which has presence globally.

Primary Responsibilities
-Effectively challenge, review, validate and test models
-Independently implement benchmark models
-Produce model review documentation
-Model certification, recertification and decertification
-Enforce compliance in model usage
-Model risk control, monitoring, and reporting
-Model risk measurement, methodology R&D, and infrastructure

Qualifications:

Skills Required
-CVA/IMM specific experience required
-Model implementation/validation for risk factor simulation, pricing, aggregation and collateral
-Methodology for stress and back testing
-Up-to-date working knowledge of Basel/CRD IV
-MSc or PhD, or equivalent, in a highly quantitative subject such as maths, physics, or engineering
-Good knowledge of stochastic calculus, Monte Carlo, PDE and other numerical techniques
-Strong programming skills
-Good communication and relational skills
-Independent thinker and team player