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Quantitative Model Governance Specialist

2 months ago

London, Greater London, United Kingdom ICBC Standard Bank Full time

The Risk Management department is a critical component of ICBC Standard Bank's Governance division. The Governance department acts as a second line of defence in the control structure.

Key Responsibilities:

  • Lead the validation process for all market risk models used in the bank, including Value-at-Risk (VaR) and Stress Value-at-Risk (SVaR) models, risk models for data proxying, interest rate risk models, economic capital models, and Financial Risk Test-Based (FRTB) models.
  • Provide guidance and mentorship to risk team members, especially in the area of market risk models.
  • Validate the models from a conceptual soundness and implementation perspective.
  • Write risk validation reports up to standards such as required by regulatory bodies and follow up with stakeholders on identified modelling issues and risk mitigants.
  • Participate in the validation of models other than market risk models where required.
  • Conduct validations with a minimal amount of supervision in line with internal standards, best practice, and regulatory expectations.
  • Lead the delivery of the market risk model validation aspects of projects and new product approval processes.

Model Risk Management:

  • Develop and maintain standards for risk validation and risk management, incorporating best practice and regulations.
  • Conduct risk management processes, including risk quantification and monitoring, and periodic validation.

Requirements:

  • Excellent academic credentials, including a Master's or PhD degree in a quantitative field.
  • Advanced knowledge of quantitative methods, including financial mathematics and statistics.
  • Expert knowledge of risk validation and a good understanding of risk management under regulatory requirements.
  • Good understanding of market risk management.
  • Good high-level cross-asset class knowledge of traded products.
  • Good coding skills, preferably in C++.
  • Working knowledge of Excel.
  • Experience with Murex as a booking and risk management tool would be beneficial.
  • Flexibility to adapt to changing day-to-day priorities while simultaneously achieving longer-term project-based deadlines.