Assistant Vice President - Model Development - Risk Analytics Group (10-15 yrs)

About:

- Risk Analytics Group (RAG) is a specialised area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Credit Models and Initial Margin models. The team members have strong quantitative skills and the team head reports to the local and international Chief Risk Officer.

- The successful candidate will be a member of the Counterparty Exposure Metrics sub-team of RAG. The team is responsible for the development and maintenance of the Potential Future Exposure (PFE) models that are used to measure Counterparty Exposure. These models are used for internal control limits and partly in economic capital calculations. The PFE is calculated in Markit fraim WRX cloud platform and covers Rates, FX, Credit, inflation, Equity and Bond Spreads, and covers derivatives, Repo and Securities lending transactions.

- In addition to the main PFE model, the team also has responsibility for the SIMM model used for Initial Margin, and the simulation model used to measure risk on structured financing trades. The team also covers model validation for the front office xVA model and it enhancements.

- The candidate will work closely with other team members in RAG, credit risk management, the IT development teams, risk model validators and Front Office. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports.

Roles and Responsibilities:

- In this role, you will be responsible for counterparty risk modelling across banking arm and securities business under a dual-hat arrangement.

- Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.

You will:

- Assist with risk model development and maintenance

- Develop, maintain and improve counterparty exposure models

- Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses.

- Specify and test system changes to implement improvements.

- Improve existing operational controls around the exposure models and propose new ones to increase robustness.

- Support business and credit department requests in investigations into exposure calculations for specific trades.

- Ad-hoc projects as required, including collaboration with market risk analytics and model validation.

- Prepare summary reporting for working groups and committees that review model performance

- Investigating issues

- Ad-hoc projects as required

- Proactively contribute to wider Risk function initiatives and projects.

Job Requirements:

Work experience:

Essential: Previous experience in pricing models

Preferred:

- Previous experience in exposure models

- Experience in SIMM model

- Experience in economic capital

Skills and Experience:

Required:

- Understanding of financial markets and products including derivatives

- Knowledge of principles of derivatives pricing

- Knowledge of stochastic calculus

- Familiarity with Python, R, Excel and VBA

Desirable:

- Understanding of counterparty exposure measures such as PFE, EE, CVA

- Experience in a risk-related role

- Knowledge of advanced programming languages (C#, C++)

Education / Qualifications: Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above

Personal Requirements:

- Excellent communication skills with the ability to adjust to different audiences.

- Highly motivated and innovative, able to work on own initiative.

- Excellent accuracy and attention to detail with an analytical mind-set

- Good team player with professional attitude

- Good time management and ability to prioritize.

- Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects.

- Strong decision making skills, the ability to demonstrate sound judgement

- Strong problem solving skills

- Strong numerical skills