Risk Model Validation Quantitative Specialist
3 weeks ago
We are seeking a highly skilled Risk Model Validation Quantitative Specialist to join our team at Jas Gujral. The ideal candidate will have a strong background in risk model validation and a proven track record of identifying and mitigating model risk.
Key Responsibilities:- Conduct independent model validation and quantification of model risk, including communication of key facts and issues identified through those activities.
- Report model risk to management and provide recommendations for improvement.
- Develop and maintain in-depth knowledge of credit models, particularly PD, LGD, and EAD, including associated assumptions, data requirements, and methodology approach.
- Familiarity with analytical packages such as R, MATLAB, and SAS.
- Excellent verbal and written communication skills, with fluency in English.
- Educated to a postgraduate standard in a finance or mathematical discipline, with professional qualifications such as CFA or PRMIA.
- Direct regulatory liaison/relationship with the Bank of England Prudential Regulation Authority (PRA) on all retail model submissions, regulatory developments, and capital impact assessments.
- Presentation of model risk papers for the risk oversight committees.
- At least 5 to 7 years of experience in IRB risk model validation.
- Strong analytical and problem-solving skills, with the ability to communicate complex ideas effectively.
- Excellent attention to detail and organizational skills, with the ability to work independently and as part of a team.
- Fluency in English and excellent verbal and written communication skills.
Please submit your CV, including your daily rate and availability, to us in Word format.
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