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DATE ADDED: Fri 20/03/2020

Model Risk Quant – LIBOR Transition

London, UK


JOB TYPE: Permanent, FullTime



The group has a significant outward facing role in its partnership with control functions such as Model Governance, Model Review, Market Risk, Valuation Control Group, as well as with Technology and Front Office.

Main responsibilities

  • Working closely with Model Governance and Model Review, to refine and implement consistent model risk policies and procedures
  • Driving initiatives for VaR Risk Regulatory Models and increased automation across the model space, products, limitations, restrictions.
  • Defining VaR Model frameworks for product taxonomy, model change control, model versioning, enforcement of model scope
  • Liaise with FO on all LIBOR transition initiatives
  • Understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.

Skills Required

To assist with the LIBOR transition as it affects VaR models:

  • Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, LIBOR transition would be beneficial.
  • Familiar with model risk/validation/governance/control practices
  • Practical experience of VaR Model, Market Data, Liquidity Risk Factors
  • Some BAU Experience
  • Exposure Market Risk/VaR models.
  • Counterparty Risk and CVA methodologies.

To assist with the LIBOR transition as it affects Hedge Accounting models:

  • Strong understanding of Market Risk e.g. (VaR, Pricing, Stress Testing, Scenario Analysis)
  • Strong Data Management and data handling skills
  • Experience in Pricing models.
  • Market Risk Changes experience, VaR Model Review, Quant Risk Calculations
  • Exposure to Hedge Accounting Experience
  • Experience Building Risk Models
  • Knowledge of financial mathematics and modelling
  • Familiarity with front office risk management platforms and infrastructure
  • Python software development experience
  • Strong communication and relationship skills
  • Strong analytical and problem-solving skills.