VP, Model Risk & Development
Our client's Corporate Investment Bank is a global leader across banking, markets and investor services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. p
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The Model Governance Group (MGG) has been recently created as part of the firm-wide Risk Oversight and Control Group, to ensure that the firm has outstanding controls, superior operational risk capabilities and continuous improvement in oversight, governance, compliance and remediation practices. MGG complements the firm's Model Review Group by assigning a team of Model Managers to each major line of business. p
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The role available is in the MGG team covering the Interest Rate derivatives trading desks within the Corporate and Investment Bank. p
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Responsibilities: p
• Provide guidance on model usage and enforce approval limits p
• Act as first point of contact for the business on all new models and changes to existing models p
• Carry out reviews requiring rapid turnaround; refer remainder to Model Review Group p
• Identify and highlight any gaps in the model governance and oversight framework p
• Work with the business to maintain the model inventory p
• Work across lines of businesses to ensure consistent model application p
• Assess appropriateness of model inputs, calibration quality and reliance on model outputs p
• Evaluate model performance on a regular basis p
• Work with Quantitative Research and Front Office to establish good risk and control practices p
• Work with other coverage partners such as Model Review, Market Risk, Finance, and Audit p
• Report on model risk both internally and externally p
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Qualifications: p
• Strong quantitative skills: PhD/Masters degree or equivalent in a quantitative discipline p
• Derivatives pricing knowledge and market experience, particularly in interest rate derivatives p
• Strong communication skills and ability to interface with key partners p
• Risk and control mindset: ability to ask incisive questions and escalate issues p
• Suitable backgrounds include: p
- Quantitative research p
- Model review/validation p
- Trading or structuring p
- Market/credit risk management p
- Finance/Valuation p
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