The Company is a British multinational banking and financial services company headquartered in London. It is a universal bank with operations in retail, wholesale and investment banking, as well as wealth management, mortgage lending and credit cards. It has operations in over 50 countries and territories and has around 48 million customers.
Itis organised into four core businesses: Personal & Corporate (Personal Banking, Corporate Banking, Wealth & Investment Management), its card, Investment Banking and Africa.
Risk provides strong risk management capabilities, strong challenge and strong support, to help deliver the bank’s risk appetite.
Overall purpose of role:
The focus of the role will be on Traded Market Risk modelling and will span across Regulatory Capital models such as VaR / Stress VaR and Risk management models such as Stress Testing. The team is responsible for the monitoring of the model ongoing performance and compliance with internal and external requirements on Model Risk Management.
The team is looking for a quantitative risk manager to develop and oversee model controls and model monitoring processes.
The role holder will be responsible for performing quantitative analyses of Risk models, drafting the bank’s submissions and presentations on model monitoring for internal audiences and to the regulators, in conjunction with the Risk Regulatory team with the objective to maintain the existing Model permission granted by the regulators as well as meeting all internal policies and standards around model monitoring.
The role holder will also be responsible for critically assessing the model assumptions and limitations and putting in place controls and processes to mitigate them, in addition to proactively seeking improvements of existing controls and processes.
The role holder will run periodic ongoing performance analysis and present conclusions to senior stakeholders.
The role holder will be responsible for ensuring that the team has adequately documented its procedures to ensure compliance with all internal policies and standards and to ensure that documentation demonstrates compliance with all regulatory requirements.
The role holder will remain up to date in terms of the main regulatory trends and the evolving industry practices in so far they impact on Market Risk model monitoring methods and implementations, and will brief risk managers on any relevant developments as they may arise.
All company colleagues have to ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards of the company.
Your Skills, Experience and Qualifications will include
· A good command of quantitative finance and statistics, as applicable to Market Risk Models
· Very strong documentation and presentation skills and ability to present clearly conclusions and recommendations from highly technical subjects. The candidate should be comfortable presenting to Senior Risk Management.
· Strong collaboration skills in the context of managing the key relationships across the bank.
· Project and process management skills, in particular in respect of large, long-term projects.
· Proficiency in Excel (including VBA), C++ ,and Python desirable.
· At least 3 years of experience in a risk management role at a global financial institution
· Experience in Quantitative Analytics, and Model Validation, Model Risk Management desirable
· Ideally a knowledge and experience of: financial markets for all the traded asset classes; vanilla and exotic derivative pricing models in all the traded asset classes.
· A first degree in Finance, Econometrics, Maths, Sciences, Engineering or another quantitative subject and should ideally hold a post graduate qualification (is educated to post graduate degree level ( Ph.D. or a Masters degree) in a quantitative discipline, such as finance, econometrics, sciences, mathematics or engineering.