Credit Risk- Model Validation

Selby Jennings
Closing date
9 Jul 2021

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Contract Type

Job Details

Key responsibilities of the role include:
  • Perform an independent validation of IFRS9, new and existing IRB credit risk models that are used in risk management, capital calculation, stress testing and business use.
  • Review regulatory and industry practice for IFRS9, IRB and other Credit Risk Models
  • Manage and complete the model validation from end to end, meeting the planned time lines and required standards.
  • Carryout the technical review of risk and pricing models by analysing the conceptual soundness and development of the banks internal models, as well as ensuring they comply with the regulation guidelines.
  • Attend Credit Risk Model Assessment where the report is being presented for approval Regulatory & Business Conduct.
  • Perform an in-depth quantitative analysis and the independent testing of the banks credit, risk and pricing models.
  • Using a mathematical and implementation perspective to validate models and review the applicability.Pricing/approval of credit Models/volatility modelling.
  • Communicating findings to senior business management and stakeholders.
  • Document model validation testing following up with stakeholders on modelling issues.

Key requirements of the role include:
  • A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
  • Experience working in a Model Validation, Pricing or Risk Management role.
  • Minimum 5 years' experience working in a financial, building and/or validating risk models
  • Strong knowledge working with IFRS9, IRB and other Credit Risk models.
  • Experience programming and coding in Python, SQL or C++.
  • Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
  • Knowledge and experience working with Fixed Income product lines.
  • In depth knowledge of European and UK markets.
  • Willing to be based in London.

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