Wholesale Credit Risk Model Oversight (AVP)
- GBP50000 - GBP70000 per annum
- London, England, United Kingdom
- Permanent, Full time
- Charles Levick
- 19 Sep 17
Tier 1 Investment Bank are looking for an experienced Wholesale Credit Risk model specialist to oversee the ongoing management and monitoring of the model design and ensure regulatory adherence.
My client a leading financial services provider are looking to recruit a dynamic individual to join the company as Wholesale Credit Model Support.
International Risk is a global team that spans America, Europe and Asia with a focus on providing strong support and challenge to the firms International, Non-Core and Treasury businesses, ensuring that the firm achieves a risk profile in line with our stated risk appetite and the external environment.
* International Risk is establishing a dedicated team of Model Owners who will be responsible for a portfolio of PD, EAD and LGD models used in the management of Wholesale Credit Risk globally.
* The role and that of the wider team is to be responsible for all aspects of model ownership. This includes oversight and accountability for model development, documentation, periodic review and validation, regulatory compliance and approval, implementation and monitoring.
* The company uses models to support a broad range of activities, including formulating business strategies, informing business decisions, identifying and measuring risks, valuing exposures, conducting stress testing, assessing adequacy of capital, managing client assets, measuring compliance with internal risk limits, maintaining the formal control apparatus of the bank, meeting financial and regulatory reporting and disclosure requirements.
* The role is essential to the effective management of Wholesale Credit model risk within International and supports the firm's key business, risk management and regulatory priorities.
* The role reports to the Director who will lead the team in London, who in turn reports to the Managing Director responsible for the ownership of Wholesale Credit default risk models within the International division.
* Key accountabilities are to implement the requirements of the Group Model Risk Policy, requiring close liaison with the following:
o Model Development/Quantitative Analytics
o Independent Validation Unit
o Model Monitoring/Review
o Regulatory Relations/Liaison
o Risk Reporting/Information Services
* The team is being created to adopt and centralize model ownership responsibilities that are currently devolved across the Risk department. The objective is to become a centre of excellence in all aspects of wholesale risk model ownership within the International division.
* Key success factors will include effective coordination with subject matter experts from Risk on the client portfolios in scope, together with senior front office/business representatives. These will typically be colleagues at Director and Managing Director level. In this regard the role will require strong analytical, communication, teamwork and influencing skills.
* Portfolios in scope comprise both new models under development and existing models in production. For new model builds, the role will require skills in project management.
* The role relies on the support of a number of shared services teams, notably for model development, validation and monitoring.
Specific responsibilities include:
* Review and approval of model development materials for submission to independent validation.
* Model documentation to required regulatory standards, at inception and ongoing.
* Monitoring model use and implementation.
* Review of model performance, calibration, back testing and data quality.
* Remediation of model limitations, including proposals for overlays and adjustments.
* Identification of required regulatory approvals.
* Periodic attestation of regulatory compliance.
* Graduate, preferably in a quantitative subject (e.g., mathematics, sciences, finance, engineering, economics or IT).
* At least 5 years of experience in a risk management or similar role at large financial institutions or consultancies.
* Working knowledge of wholesale PD, EAD and LGD modelling approaches and related statistical techniques.
* Knowledge of key regulatory frameworks, specifically CRR/CRD IV. Experience of AIRB model submission and approval would be an asset.
* Effective communication skills across a range of forums, both written and oral, and to senior audiences both internal and external.
* Strong teamwork and collaboration skills, with capacity to build and maintain effective working relationships across internal functions in addition to direct reporting line.
Risk and Control Objective
All colleagues have to ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards.