Model Risk Manager

Vallum Associates; City Of London; Hybrid; GBP 90,000 - 150,000; Full time

Job summary

Vallum Associates in London seeks a Model Risk Manager to lead quantitative risk activities across Risk. You will validate valuation models, develop risk methodologies for commodity and trading portfolios, and contribute to governance and policy within a small, expert team.

The role requires deep expertise in model validation, production-grade Python, and experience in energy or financial services. Hybrid work with a collaborative, fast-paced environment awaits a senior risk professional.

Qualifications

• 5+ years of experience in quantitative risk management.
• Experience in energy or financial services.
• Master's degree or higher in a quantitative field.
• Model validation experience including documentation and policy execution.
• Experience maintaining a production-quality Python library.
• Experience in a Japanese company or Japanese subsidiary is advantageous.

Responsibilities

• Design and implement risk methodologies for non-standard transactions.
• Independent validation of front office pricing and valuation models.
• Contribute to shaping and governance of model validation policy and practices.
• Model market data for commodity risk factors.
• Support other Risk teams on quantitative models and methods.
• Support small programming tasks that improve efficiency.

Skills

Python

SQL

VBA

Quantitative risk management

Energy industry experience

Education

Master's degree in a quantitative field

Tools

Python library (production-quality)

Job description

Role Title: Model Risk Manager

Department & Team: Risk / Model Risk

Reporting To: Head of Model Risk

Location: London (Hybrid)

Employment: Permanent

Role Purpose

• The principal purpose of the Model Risk Manager role is to lead and steer a range of activities requiring quantitative expertise across the wider Risk department.
• This is expected to include the validation of valuation models as well as the development of risk methodology for the use of quantifying, measuring, and monitoring the risks inherent in the SmartestEnergy Trading and Origination portfolios.

Key Responsibilities

• Design & implementation of risk methodologies, in particular for non-standard transactions
• Independent validation of front office pricing and valuation models
• Contribute to shaping and governance of model validation policy and practices.
• Modelling of market data for commodity risk factors.
• Support other Risk teams on all quantitative risk models and methods
• Support other Risk teams on small tactical programming tasks that enhance efficient ways of working

Department & Team Structure

• Report to the Head of Model Risk
• Play a senior/leading role within a small team of quantitative risk analysts

Performance Indicators

Success in the role will be measured through:

• Developing trading standard risk methods for structured and long dated transactions
• Better risk modelling across all Risk areas
• Execution of Model Validation process and policy
• Efficiency improvements of manual processes that cannot be outsourced to IT&C
• Successful cross-team (internally and externally) and within-team collaboration.
• Team development - Develop one's own knowledge of our growing business, and help to foster the development of the Model Risk team's broader knowledge and capabilities.

Experience & Qualifications

• 5+ or more years of experience in quantitative risk management.
• Professional experience within the energy or financial services industry.
• A quantitative degree at Master's level or above.
• Specific experience of model validation, including model documentation and execution of model validation policy.
• Experience maintaining and evolving a production-quality Python library.
• Experience working within a Japanese company or Japanese subsidiary would be advantageous.

Knowledge & Technical Skills

• Significant pricing and risk model knowledge relating to energy industry.
• Knowledge of best practices around model validation.
• Knowledge of non-commodity industry costs in the energy supply industry.
• Strong knowledge and familiarity with Python.
• Programming skills: SQL, Python, VBA (at least two)