Quant Model Risk Manager
3 weeks ago
Quant Model Risk Manager - Independent Review & Control - Investment Banking
Looking for a Model Risk Manager to cover market risk, counterparty risk and valuation risk methodologies.
Including:
- Market risk models like VaR, IRC CRM metrics, and new market risk methodologies to comply with FRTB.
- Counterparty risk models such as PFE, EEPE, SA-CCR and CVA Capital Charge measures for various OTC, listed derivatives, prime brokerage and repo trading activities.
- Valuation risk methodologies used for fair value and prudent value adjustments.
The position involves the model risk management of the above as well as managing analysts.
**Required experience**
- In-depth knowledge of capital markets: how the markets operate, what the liquidity and price observability of the key products are, what the trading venues are, and what the various netting and collateral agreements are.
- Looking for a Model Risk Manager Familiarity with many pricing models as well as with market and counterparty risk modelling techniques.
- Good understanding of the regulatory requirements for the scope of models being in charge of.
- In-depth knowledge of model risk management processes, regulatory requirements, internal policies, standards and templates.
- Advanced programming skills in Python/R/C# or other languages allowing fast assessment of model features and carrying out comparison of model alternatives.
- Ability to delegate some tasks to increase efficiency and to focus on higher value work.
- Capacity to master the methodologies in the perimeter in order to know when, where and how to interact. Eagerness to take ownership of projects and be autonomous in finding out the next steps.
The Model Risk Manager position covers the team members who start acting as model validation manager. To be able to cover a wider range of models and projects, they need to delegate part of their review work to entry-level analyst and analyst team membersby defining the analyses to be performed, supervising and structuring their work during the review, and presenting the final deliverables articulating the executive summary of the review. Furthermore, the Model Risk Manager coordinates the contribution ofthe team to various Group level projects and represent the team within those projects.
Inside IR35; Partly Remote
Adlam Consulting operates as an Employment Agency & an Employment Business Applicants must be eligible to work in the specified location
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