Model Methodology & Control
Full Job Description
- Working with partners in Derivatives Counterparty Exposure Management (DCEM), Quantitative Analytics (QA) and IT to redesign and implement a new backtesting reporting process that will be fit for transition into Basel III.
- Identify and fix data quality issues
- Agree with stakeholders and implement a Basel III compliant template for presenting the results at key governance committees.
- Any other tasks as required in support of CRR Basel III projects.
- Working on systems developments-enhancements to meet users requirements
- Trading products exposure profile analysis
- Co-ordination of UAT`s associated with the above initiatives including consolidating user issues.
- Investigation of problems in the process to identify and rectify issue.
Main Duties
- Back Testing reporting process, that consists of responsibility for:
o carrying out all data preparation steps (including data quality) required to generate inputs for the simulation engine (EAGLE),
o carrying out periodic movement analysis,
o investigating reasons for movements with DCEM,
o preparing the first versions of the regular reports including but not limited to the contribution to the existing pack.
- Work closely with QA and DCEM in the production of the Monitoring packs
- Assist CRR and Development teams with report automation
- Liaising with different stakeholders (Credit Risk Managers-Repor
Essential:
- Graduate in a relevant subject from a reputable university
- Preferred:
- Masters in mathematical finance, financial engineering, or equivalent
Experience required:
Essential
- Good working understanding of the main derivative products and credit exposure methodologies.
- Understanding and adhering to relevant regulatory and internal governance requirements
Preferred
- Experience working in a top tier investment bank in a similar role
- Prior experience in Market Risk
- Ability to carry out general analysis of EEPE and PFE
- Managing teams and senior stakeholder relationships,
- Working on IT projects to document requirement and oversee user testing.
Skills and Knowledge: (Specific product knowledge-PC skills- languages etc.)
Essential
- Self-starter and results orientated.
- Track record of driving forward change initiatives in an independent manner.
- Ability to think and make decisions under pressure and under short time-frames
- Very competent communication skills.
- Maturity and ability to manage conflicts - difficult discussions to achieve appropriate risk management
- Capable of detecting inefficiencies and proposing solutions
- Strong Excel and Access skills
Preferred
- VBA and XML
- Previous Derivatives product control experience
- Excellent team management skills.
A Leading investment banking firm
85,000-100,000K Base generous benefits
Where specific UK qualifications are required we will take into account overseas equivalents.
Please quote Michael Page reference when applying Job ref:MPGX13250121
Michael Page International is a world leading recruitment consultancy.
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