Senior Quantitative Model Risk Analyst

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • RBS
  • 18 Oct 18

See job description for details

The Business
We're looking for a Senior Quantitative Model Risk Analyst to join us in London

  • You'll be sitting within the Model Risk Management team, responsible for reviewing and challenging a wide variety of quantitative models across the bank, including those for valuation of derivatives, market risk, counterparty risk, credit risk and pension risk
  • Your remit will cover a selection of risk models relevant to treasury such as liquidity modelling, IRRBB and FTP
  • There is a high degree of collaboration across projects, and you'll have the opportunity to get involved in a variety of model review initiatives
  • Flexible working options are available as part of this role

What you'll do

You'll be joining the Model Risk Management team, which works on independent review and validation of models across the entire bank, providing independent challenge and review of pricing across all business areas of RBS.

You'll cover a selection of primarily risk models relevant to treasury, reviewing and validating to make sure they're fit for purpose. You'll also use your expertise in quantitative modelling techniques gained in a business or applied academic research context.

In this role you'll also:
  • 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, economic capital and pensions
  • 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
  • Participate in training programmes through internal seminars, workshops and online courses

The skills you'll need

We're looking for someone with at least a master's level degree in a highly quantitative subject, such as Mathematics, Physics, Statistics, Quantitative Finance, or similar. 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 python, R or C++

Experience with treasury models would 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.

Inclusion

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.