Credit Risk Model Validation – AVP recruitment
My client is looking for a Quantitative Analyst to join the Credit Risk Model Validation team in London. This team is responsible for independent point-in-time validations and annual reviews of credit models for internal risk management and regulatory capital. The team’s mandate covers EPE/PFE Monte Carlo models; PD, LGD, and EAD models; and models for credit risk economic capital.
They are looking for a candidate who has the right communication skills and interest in this field for their well-respected team.
Responsibilities include:
- This individual will initially focus on annual reviews for counterparty credit risk models but he/she will be expected to validate other models as needs arise
- Completing model reviews along with appropriate documentation and testing results
- Communicating key findings to senior management, model developers, credit risk officers, and regulators
- Overseeing control processes to ensure previously approved models continue to behave as expected, including back testing
- Reviews include: theoretical review, assessment of appropriateness, and implementation tests.
Skills required:
- Could have around three years of relevant financial institution or risk system vendor experience
- Both theoretical and practical knowledge of counterparty risk or market risk models (including financial instruments) preferred but experience of other financial risk and pricing models may suffice (experience of credit EC, PD, LGD, and EAD models viewed very positively but not essential)
- Facility with data manipulation, integrating information from different systems, R/SAS, Perl/Python/VBA, and SQL (experience of C/C++ viewed very positively but not essential)
- Ability to assess strengths and weaknesses of modelling approaches
- MSc in Mathematics/Statistics/Financial Engineering (BSc in quantitative subject only considered on exceptional basis)
If you would like to apply for this role or find out more, please apply online or contact Anna Purves at Robert Walters on 0207 509 8745 or anna.purves@robertwalters.com quoting the Job Reference 1603030/APC