ABOUT THE PROJECT
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.
- 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.
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.