Model Risk Consultant - Rates

5 days left

England, London, City of London
£650 - £900 per day
03 Sep 2020
01 Oct 2020
Foysal Ali
Financial, IT, Risk
Contract Type
Full Time

Our client is one of the world's leading banks, with more than 45,000 employees, offices in 50 countries and expertise in nearly every facet of banking, investing and finance.

Reason for role
X2 candidates required who will be working on validation of models which are in scope of IBOR program. Due to concentration of work and staffing challenges it´s not possible to deliver this work with support of internal staff. The roles are funded by IBOR program.

Overview of department
The Model Risk Management (MRM) team a has a mandate to validate the Bank's business-impactful models firm-wide and more generally to identify, measure and manage model risk across the business. The team is established in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York. As a member of the MRM team, you will get exposure to modelling in a wide variety of risk areas such as credit risk, market risk, operational risk etc. The current heightened regulatory focus on these areas and the team's broader model risk scope also guarantees a significant level of interest and visibility to the business and senior management.

Key responsibilities

  • Act at a Consultant level, validate Rates Pricing models to ensure they remain fit for purpose and recommend improvements where necessary, including assessing model risk from assumptions and limitations.
  • We offer you the opportunity to manage independent validation reviews across a wide range of core Risk Capital, Pricing or other business-impactful models used throughout the bank. Meeting business needs and regulatory expectations with responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc
  • Review, verify and validate financial models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring as well as contribute in the firm-wide model risk and control assessment

Essential skills/qualifications

  • You hold a Masters or PhD in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, Economics with experience in financial modelling and/or model validation.
  • You have experience in financial modelling for Rates products. Focus on Market Risk models (VaR, RNiV) is a plus.
  • You have hands-on experience in risk and capital modelling, derivatives pricing and should be able to demonstrate an understanding of capital modelling, financial and derivative products and mathematics.
  • Proficient programming skills using one of the following Python, C# or F#.
  • You are highly motivated, disciplined, task focused and have a proven record of delivering high quality results to strict deadlines.
  • Outstanding written and verbal communication, interpersonal skills.

Candidate value

  • You will gain training and exposure to modelling in areas such as risk models, capital models and Rates derivatives. The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business. The range of projects covered offers the chance for team members to gain detailed knowledge of products as well as models used in the risk management of Rates derivatives.

Candidates will ideally show evidence of the above in their CV in order to be considered.

Please be advised if you haven't heard from us within 48 hours then unfortunately your application has not been successful on this occasion, we may however keep your details on file for any suitable future vacancies and contact you accordingly.

Pontoon is an employment consultancy and operates as an equal opportunities employer.

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♦ The business of the Adecco Group UK & Ireland is transacted via a number of differently branded trading entities, as follows: Adecco UK Limited, Adia Technology Limited, Modis International Limited, Badenoch and Clark Limited, Ajilon (UK) Limited, Office Angels Limited, Penna plc, Pontoon Europe Limited, Roevin Management Services Limited, Spring Technology Staffing Services Limited.

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