QUANTITATIVE AND MODEL RISK ASSURANCE
An excellent opportunity currently exists in the Quantitative and Model Risk Assurance team within a large global bank.
This role has a quantitative focus within the Group Assurance team and will focus on contributing to the development of the assurance plan. This is a 3rd line of defence function and will look at model risk management and the independent validation of models of various risk classes across the different areas of the bank as a whole. You will perform test managed credit scorecards and transaction managed risk grading models. You will look at the whole credit risk rating system and capital models and validation of its quantitative components such as credit risk estimate models. You will look at credit provisions and quantitative models supporting their calculations as well as looking at Stress Testing and Value At Risk (VAR). The role will consist of model validation and assurance around the 1st and 2nd line model controls.
You will come from a credit risk or market risk background and hold a quantitative, mathematical or similar tertiary qualification with 5 years’ or more experience in quantitative modelling or a risk analytics area. You will have built or reviewed and validated risk models within a financial services organisation looking at their design and methodology. You will be Proficient in SAS at advanced level and SQL and have the ability to conduct data analysis with complex datasets. If you have market risk, capital modelling or scorecard experience, this will be an advantage as well as being familiar with the Basel regulatory capital framework. You will possess excellent time management, organisational and communication skills and want to work in a High performance culture. You will have a continuous improvement attitude and will pride yourself on your analytical skills and attention to detail.
This is a fantastic opportunity to work in a high performing, dynamic and flexible working environment who offer excellent career development prospects as part of the independent re-assurance, acting as the third line of defence.
To apply for the position, click APPLY NOW or contact me on 02034650158
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