Credit Risk Model Validation, AVP
Global investment bank seeks AVP level Credit Risk Model Validation Quant Analyst as part of their expanding Model Risk function.
Team covers Independent model validation of risk quantitative methodologies, both initial and periodic, across all asset classes and risk types (credit risk, market risk, economic capital, stress testing models, etc. ) and in line with regulatory requirements and industry best practice.
Initial and periodic validation of quant models
Quantitative analysis and review of model frameworks, assumptions, data, and results
Designing, modelling and prototyping challenger models when required
Testing models numerical implementations and reviewing documentations
Checking the adherence to governance requirements
Documentation of findings in validation reports, including raising recommendations for model improvements
Ensuring models are validated in line with regulatory requirements and industry best practice
Tracking remediation of validation recommendations
Preparation of model risk reporting for Model Oversight Committee and Board
Experience in risk-modelling of banking book portfolios (model development or validation)
Knowledge of corporate credit risk models (IRB, AIRB, PD/LGD/EAD)
Experience in market risk or/and counterparty risk modelling
Experience with other risk models (Economic Capital, Stress Testing, etc.)
Experience with derivatives pricing models
Strong background in Math and Probability theory - applied to finance.
Good knowledge of Data Science and Statistical inference techniques.
Good understanding of financial products.
Good programming level in Python or R or equivalent.
Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
Modelling and pricing of financial derivatives
Computer simulations and numerical approximation methods
Experience with C++ or C# or equivalent
Up-to-date knowledge of regulatory capital requirements for market and credit risk
A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance,
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative. BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.