Credit Risk Model Validation recruitment
Main Function
We have an opening in a Tier 1 Investment Bank 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.
Main Duties
Responsibilities include:
- 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 backtesting
Reviews include: theoretical review, assessment of appropriateness, and implementation tests.
Person Requirements
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.
Minimum requirements:
- AVP
- Three years of relevant financial institution or risk system vendor experience
- Theoretical and practical knowledge of counterparty or market risk models 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)
Finance Professionals is part of Hydrogen Group.
