Sorry, applications for this particular Job have now closed.
AVP Model Validation – Market Risk, Pricing Models, Stress Testing
* Location: London
* Job type: Permanent
My client is seeking a highly motivated and experienced quantitative risk management professional.
As part of the strategic growth plan of its risk modelling function, the firm now seeks an experienced credit risk modeller with significant prior experience of IRB modelling to take on a senior role within the team being set up to deliver AIRB for the firm's specialist lending portfolios. This is a new role, reporting to the Manager for IRB Modelling. The role will involve:
* Development of models to support business decision making, risk management and estimation of regulatory capital requirements in line with internal development standards and policies. This includes Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models.
* Performing exploratory and ad-hoc data analysis to generate meaningful customer or portfolio insights.
* Contributing to the standards, methodologies and toolsets required to perform analytic activities.
* Extracting, transforming, and cleaning the data required for modelling and analysis purposes.
* Engaging with customer-facing Business teams to understand how our analytic outputs can support their decision making.
Applicants should possess prior experience of IRB models (as a developer or validator), with a degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics and a high level of competence in SAS or SQL programming – an equivalent level in an alternate programming language would be considered (e.g. R, Python, Matlab). Advanced experience in extracting, transforming, and cleaning data for modelling purposes is also required.
We seek individuals from a diverse talent pool and encourage applicants from underrepresented groups to apply to our vacancies. Our commitment to fair recruitment processes means that we welcome applicants from all backgrounds, regardless of their lived experience or personal characteristics. We also invite applicants who meet most of the listed requirements, even if not all, to apply. If you require any adjustments to the application process, please let us know.
Barclay Simpson acts as an Employment Agency for permanent positions and an Employment Business for temporary/contract engagements.
#J-18808-Ljbffr