Quantitative Model Risk Analyst
- London, England, United Kingdom London England GB
- Permanent, Full time
- 25 Sep 18 2018-09-25
See job description for details
We are looking for a Quantitative Model Risk Analyst to join us in London
- You'll join the Model Risk Management team, which works on independent review and validation of models across RBS including product valuation, algorithmic trading, market risk and regulatory capital
- Use your expertise in advanced quantitative modelling techniques gained in a business or applied academic research context
- You'll be working on projects that require a high degree of collaboration, and you'll have the opportunity to get involved in a variety of model review initiatives
- You can also take advantage of our flexible working options in this role
What you'll do
You'll review and validate assigned models, primarily those for valuation of financial instruments, but also in other areas such as electronic and algorithmic trading, in order to make sure they're fit for purpose. The models you'll be working on can impact customer experience, support growth and assist in maintaining the strength and sustainability of the bank. These models are used for customer, business and strategic decision making, as well as disclosures, and regulatory calculations or returns.
You'll provide independent challenge and review of valuation and other models used within RBS and your work will cover a selection of models relevant to interest-rate, foreign exchange and credit products
In this role you'll:
- Evaluate whether models are appropriate for their intended purpose, and ensure that significant model risks are identified, quantified where possible, and communicated to senior management and model end-users
- Advise on how model risk can be reduced or mitigated
- Challenge existing models and their uses where necessary, developing alternative models as appropriate, basing your conclusions on rigorous quantitative analysis
- Develop and extend your knowledge to include models for market risk, counterparty risk, regulatory capital and margin
- Create and maintain strong relationships with key internal stakeholders, as well as regulators and external and Internal Audit
- Communicate the findings of your model reviews, in formal written reports and verbally, in a way that is suitable for a variety of audiences, which will include senior management, regulators, model developers and end-users
The skills you'll need
We're looking for someone with a postgraduate degree to at least Master's level in a highly-quantitative subject, such as Mathematics, Physics, Statistics or Quantitative Finance. You'll have a strong combination of problem-solving and analytical skills, and the ability to simplify complex concepts to make sure senior management understand key model-risk-related issues.
You'll also demonstrate:
- Expertise in complex quantitative modelling and analysis, gained through previous business experience in banking or other financial institutions, or through applied academic research
- Familiarity with financial markets and financial products
- Excellent written and verbal communication skills
- The ability to work on your own initiative when required, to deliver multiple projects to demanding deadlines
- Programming skills in C++ or a similar language
Experience with either credit derivative models and traded credit products or with electronic and algorithmic trading will be a significant advantage.
How we'll reward you
In return, we offer a competitive salary and you'll also join our retirement savings plan. You can also choose from a selection of protection, healthcare or lifestyle extras from RBSelect, our fully flexible reward programme.
Visit our reward and benefits page for more information on the benefit packages we offer.
At RBS, we want everyone to feel welcome, regardless of your background or needs. If you need adjustments making to your working environment, we'll do everything we can to support you. As part of this commitment, we offer flexible working options for some of our roles - find out more .
As a Financial Services organisation we comply with and support the requirements set by our Regulator, the Financial Conduct Authority (FCA), which are designed to protect our customers. This role falls under Conduct Rules of the Individual Accountability Regime (IAR) and is subject to pre-employment screening. This means if your application is successful, you'll need to satisfy some important background checks before you can start working with us. These will include a full credit check, a criminal record check, residency and right to work checks.