Model Validation Consultant, London (x2)

A leading UK merchant banking group providing lending, deposit taking, wealth management services and securities trading.

Listed on the London Stock Exchange and is a member of the FTSE 250. We remain focused on markets and services we know and understand, developing leading positions and unrivalled expertise. Our approach is prudent and considered enabling us to grow sustainably, through all market conditions, building confidence among our depositors and investors.

Our businesses have remained local as we continue to provide bespoke services and developing long-term relationships ensuring our success in the future. We value our clients over everything else. What they do is important – they are the doers and makers of things, the wealth creators, the investors and the savers. We ensure our services meet their specific needs and invest to support them as they grow.

These principles, founded in our past but applied to the modern world today, represent what we describe as ‘modern merchant banking’ – values that are embedded in our culture and that underpin everything we do.

To support and execute delivery of the Model Risk validation objectives within the Enterprise wide risk team. Model risk governance across the Group, which is a key component of the Bank’s overall enterprise risk management framework.

RESPONSIBILITIES:

Model Validation

  • To support the implementation of the Group’s target state operating model for a 2nd Line Model Validation function
  • Ensure that models are fit for purpose in accordance with CBG’s strategy and aims
  • To offer constructive, independent technical check and challenge at committee level, where appropriate
  • Perform independent reviews of new and existing models, including but not limited to capital, IFRS9 and pricing models
  • Understand model purpose, the underlying mathematical model, its implementation and its deficiencies
  • Understand the model behaviour under stress such as applied in capital calculations
  • Undertake rigorous testing of new and existing models to assess comprehensiveness of risk representation, suitability for intended use, robustness and stability of calibrations, ongoing performance vis-à-vis risk factor and portfolio back testing, and reasonableness of simulations vis-à-vis other distributional tests
  • Apply quantitative and qualitative techniques to model validation, this can include independent implementation of the model
  • Propose solutions to model deficiencies
  • Structure the current state of validation, assurance and approval status of models
  • Aid new modelling by providing coding reviews and proposing model improvements
  • Carry out model risk management tasks with a view to the auditability of model assurance
  • To provide expert support and guidance to all stakeholders on model development and validation activities, to help ensure the group model risk operating model is consistently adopted in processes and procedures, and to help model owners, users and developers understand minimum standards, make use of templates, etc.
  • Research statistical techniques to estimate model parameters, including volatilities of risk factors and their correlations, and to validate use of appropriate proxies and fall-back parameters
  • Benchmark particular model components such as parameter estimation methods or pricing models to justify against alternative approaches
  • Document models, methodologies, analyses, and findings to the Group’s standard
  • Identify key areas for business assistance and implementation of the Group models
  • Review and provide guidance on existing and to-be developed model documentation
  • Keep up-to-date on regulatory changes, quantitative techniques, and industry practices

Risk & Compliance

  • Ensure that all Governance and Compliance requirements are adhered to and all reporting and reviewing activities required by the Regulatory Bodies are carried out to the standards required

THE CANDIDATE:

  • Experience in modelling and/or validation for corporate, retail, wholesale banking portfolios with a financial services organization, consulting firm, or analytic solutions provider
  • Hands-on experience in technical model development and implementation, model validation, and/or model oversight in one or more of the following areas: credit risk (retail and/or wholesale), PD/LGD/EAD estimations, IFRS9, operational risk, asset & liability management, Economic Capital, stress testing, sensitivities, time series modelling
  • Previous experience of interpreting technical documentation and producing written reports which convey technical information in an accessible manner, targeted to specific audiences
  • Ability to conduct statistical analysis in a coding environment (e.g. SAS, Excel, R, Matlab, Python, Github)
  • Strong analytical skills with great attention to details, strong control mind-set with interest in investigating issues and develop solutions.
  • Good written and verbal communication & presentation skills
  • Sound knowledge of regulatory compliance requirements.
  • Ability to interface with all levels in the business including senior management
  • Good interpersonal skills and a team player, proactive and self-motivated
  • Basic knowledge of data software provider (e.g. Moody’s)

Education & Qualifications

Essential

  • A post graduate degree in finance, statistics, econometrics, mathematics, operational research, or other quantitative fields

Desirable

  • Industry certifications preferable but not essential (e.g. FRM, CFA)