Risk Management – MGG

  • Competitive Market Rate
  • London, England, United Kingdom
  • Permanent, Full time
  • Anson McCade
  • 20 Sep 16

As part of the firm’s model risk management function, Model Governance Group is charged with developing model risk policy and control procedures, performing model review activities, providing guidance on a model’s appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations. The role provides attractive career paths for model development and model validation quants in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions.

Risk Management – MGG

VP Level – London based

As part of the firm’s model risk management function, Model Governance Group (MGG) is charged with developing model risk policy and control procedures, performing model review  activities, providing guidance on a model’s appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.

The role provides attractive career paths for model development and model validation quants in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions.

Core responsibilities:

  • Engage in new model validation activities for a subset of models in the coverage area - evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
  • Perform additional model review activities ranging from proposed enhancements to existing models, extensions to scope of existing models, use of approximate bookings, to providing transaction-specific approvals.
  • Liaise with Trading Desk, Risk and Finance professionals to provide oversight of and guidance on appropriate usage, controls around model restrictions & limitations, and findings for ongoing performance assessment & testing.
  • Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact.
  • Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards.

Essential skills, experience, and qualifications:

  • Strong quantitative & analytical skills:  The role requires a strong quantitative background based on a PhD or Masters Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.
  • Domain expertize in following areas: Peak Exposure, Country Risk, XVA (CVA, DVA, FVA, KVA), Counterparty Credit Risk Capital (CVA RWA/ Default RWA), Economic Capital Models, probability theory, econometrics, statistics, and numerical methods.
  • Prior experience in following backgrounds (minimum experience is 3 Years): Quantitative Model Development, Model Validation, Trading or Structuring, Market/Credit Risk Management.
  • Strong communication skills and ability to interface with other functional areas in the bank on model-related issues.
  • Risk and control mindset: ability to ask incisive questions, converge on critical matters, assess materiality and escalate issues.