This role supports a strategic function within Group Risk Management and is a key contributor to the independent validation of models. It generally supports the company with advanced quantitative analytics capability and standards while also contributing to the review of bank-wide exercises such as ICAAP and Stress Testing. The position requires robust quantitative skills, independent thinking, and articulate communication skills to interact with a diverse range of stakeholders within Group Risk.
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Responsibilities
- Support model risk management within the group and perform various model risk activities, such as model identification, classification, inventory management, and risk controls.
- Lead the implementation of the model validation framework and validate various models of the company, focusing on trading risk, market risk, credit risk, and compliance.
- Develop statistical tools in Excel/VBA/R/SAS/Python to analyze models' sensitivity and behavior, ensuring alignment with the company's policies and regulatory requirements.
Requirements
- Minimum 8 years in a technical field within the financial or risk consultancy industry, especially with risk management.
- Strong academic background with a quantitative major; professional certification in risk management is desirable but not mandatory.
- Expertise in various types of models and robust knowledge of model risk management best practices and regulatory requirements.
Interpersonal Skills
- Self-starter with the ability to work independently and undertake necessary research.
- Good oral and written communication skills in English and the ability to deliver presentations.
- Flexible team player capable of working under short deadlines.
