A-IRB & IFRS9 Model Validation - London, UK
1. Contract (12 months fixed term, including bonus entitlement and full benefits).
2. Perm (ongoing, permanent, position).
The positions will focus on validating A-IRB and IFRS9 models.
- Assist with the implementation of the banking group's target state operating model for a 2nd Line Model Validation function aligned to the AIRB project roll out.
- Make sure that models are fit for purpose.
- Provide constructive, independent technical checks and challenges at committee level.
- Perform independent reviews of new and existing models, including but not limited to capital and pricing models.
- Understand model purpose, the underlying mathematical model, its implementation and its deficiencies. Understand the model behaviour under stress such as applied in capital calculations.
- Undertake rigorous testing of new and existing models to assess comprehensiveness of risk representation, suitability for intended use, robustness and stability of calibrations, ongoing performance vis-à-vis risk factor and portfolio back testing, and reasonableness of simulations vis-à-vis other distributional tests
- Apply quantitative and qualitative techniques to model validation, this can include independent implementation of the model.
- Propose solutions to model deficiencies.
- Structure the current state of validation, assurance and approval status of models.
- Aid new modelling by providing coding reviews and proposing model improvements.
- Carry out model risk management tasks with a view to the auditability of model assurance.
- To provide expert support and guidance to all stakeholders on model development and validation activities, to help ensure the group model risk operating model is consistently adopted in processes and procedures, and to help model owners, users and developers understand minimum standards, make use of templates, etc.
- Research statistical techniques to estimate model parameters, including volatilities of risk factors and their correlations, and to validate use of appropriate proxies and fall-back parameters
- Benchmark particular model components such as parameter estimation methods or pricing models to justify against alternative approaches
- Document models, methodologies, analyses, and findings.
- Develop model performance monitoring scorecards and dashboards;
- Keep up-to-date on regulatory changes, quantitative techniques, and industry practices.
Candidates will have:
- Experience of either developing, or validating, credit models.
- Experience in modelling and/or validation for corporate, retail, wholesale banking portfolios with a financial services organization, consulting firm, or analytic solutions provider.
- Hands-on experience in technical model development and implementation, model validation, and/or model oversight in one or more of the following areas: credit risk (retail and/or wholesale), PD/LGD/EAD estimations, operational risk, Economic Capital, stress testing, time series modelling.
- Ability to conduct statistical analysis in a coding environment (SAS, Excel, R, Matlab, Python)
- Strong analytical skills with great attention to details, strong control mind-set with an interest in investigating issues and develop solutions.
- Good written and verbal communication & presentation skills
- Sound knowledge of regulatory compliance requirements.
- The ability to interface with all levels in the business including senior management.
Vennbridge is an employment firm in relation to this opportunity. For more information, see https://www.linkedin.com/in/louisaltman/ and www.vennbridge.com.