Do you have model building and coding skills? If the answer to both is yes, then an exciting opportunity to join the Market Risk team in the Model Risk And Validation (MRAV) team could be of interest. This is a fast moving area that would allow you to develop your skills by examining and testing model builders assumptions, code and results. You'd get to review a wide range of models throughout the bank ranging from models in the Trading Book, Treasury and Client Products. You will be highly numerate and analytic with good communication and persuasion skills. The role would let you interact with a wide range of partners and provide you with an opportunity to influence the banks model building approaches at this key time. More details are in the job specification.
The role will allow the holder to contribute to the advancement of market risk modelling capability within LBG.
The Market Risk Model Review function is responsible principally for providing effective, robust and independent oversight of, and challenge and support to, a suite of market risk and ALM models. The job holder will principally be responsible for overseeing (that is, reviewing, analysing and critically assessing) market risk and ALM models, covering Value at Risk, Potential Future Exposure, portfolio and Asset Liability models.
In summary, the role will be demanding, but stimulating and varied, and with potential for self development within a committed and energetic small team environment, adding substantial value in an increasingly important area.
We're committed to building a workforce which reﬂects the diversity of the customers and communities we serve. Join us and be part of an inclusive, values-based culture focused on making a difference. Flexible working can be considered.
The job holder's core accountabilities will include:
- Detailed evaluation of market risk and ALM models, including their: design, calibration and validation; operation; usage; reporting; and governance.
- Expert input into model development, selection, validation, back-testing, stress testing and review;
- Advising risk teams on the most appropriate quantitative estimation, validation and stress testing methodologies to use;
- Developing robust and professional working relationships with key partners in business units and Group Audit;
- Assisting the Head Market Risk Model Approval in the continuous challenge, development and enhancement of the function to ensure it remains appropriate and aligned to the Group's internal, and the accepted external governance requirements;
The successful candidate is likely to have:
- A strong academic background in a discipline relevant to quantitative risk modelling
- Significant experience of market risk model design, development, construction, calibration, validation and stress testing; ideally also including experience of market risk model oversight and governance
- Sound knowledge of the regulatory requirements for market risk modelling including emerging regulatory requirements
- Strong relationship management and engagement/influencing skills
- A successful track record of delivery of change in market risk modelling
- The ability to explain technical market risk issues in a concise manner to a non-technical audience
- An ability to code in visual basic or C/C++ or R or Python is needed