Model Risk Manager

Vallum; Greater London; On-site; GBP 120,000 - 170,000; Full time

Job summary

Vallum is seeking a Model Risk Manager to lead quantitative risk activities across the Risk department in London. You will validate valuation models, develop risk methodologies and support governance of model risk practices.

You'll design and validate Front Office pricing models, enhance production Python libraries, and collaborate with Trading, Origination and other teams to strengthen risk capability.

Qualifications

• 5+ years of experience in quantitative risk management.
• Master's degree in quantitative field or higher.
• Experience with model validation including documentation and processes.
• Experience maintaining production-quality Python libraries.

Responsibilities

• Design and implement risk methodologies for non-standard and structured transactions.
• Independently validate Front Office pricing and valuation models.
• Contribute to the development, governance and continuous improvement of model validation policies.
• Execute model validation activities in accordance with established policies and best practices.
• Support the development of robust model documentation and validation standards.

Skills

Quantitative risk management

Education

Master's degree in quantitative field

Tools

Python

SQL

VBA

Job description

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.

The role will primarily focus on:

• Validation of valuation models.


• Development and implementation of risk methodologies.


• Quantifying, measuring and monitoring risks inherent in the Clients' Trading and Origination portfolios.


• Providing quantitative risk expertise and support across other Risk teams.


• Improving the efficiency, robustness and governance of model risk practices.

Key Responsibilities

The Model Risk Manager will be responsible for:

Model Risk & Validation

• Design and implement risk methodologies, particularly for non-standard and structured transactions.


• Independently validate Front Office pricing and valuation models.


• Contribute to the development, governance and continuous improvement of model validation policies, processes and practices.


• Execute model validation activities in accordance with established policies and best practices.


• Support the development of robust model documentation and validation standards.

Quantitative Risk Modelling

• Develop and enhance quantitative risk methodologies across the Risk function.


• Model market data and commodity risk factors relevant to energy trading and origination activities.


• Support other Risk teams with quantitative risk models, methodologies and analytical approaches.


• Develop trading-standard risk methodologies for structured and long-dated transactions.


• Contribute to improving risk modelling capabilities across all Risk areas.

Programming & Process Improvement

• Maintain and evolve production-quality Python libraries used within the Risk function.


• Undertake small tactical programming activities that improve efficiency and ways of working.


• Identify opportunities to automate or streamline manual processes that cannot be outsourced to IT&C.


• Support the development of efficient, scalable and sustainable quantitative risk solutions.

Collaboration & Team Contribution

• Work collaboratively with Risk, Trading, Origination and other internal teams.


• Support effective collaboration with external stakeholders where required.


• Play a senior and leading role within the Model Risk team.


• Contribute to the development of the team's broader quantitative and model risk capabilities.


• Develop and maintain knowledge of the company's growing business and evolving risk requirements.

Department & Team Structure

• Report directly to the Head of Model Risk.


• Play a senior/leading role within a small team of quantitative risk analysts.


• Work collaboratively across the wider Risk department and with Trading and Origination teams.


• Provide quantitative expertise and guidance to other Risk functions where required.

Performance Indicators

Success in the role will be measured through:

• Development and implementation of trading-standard risk methodologies for structured and long-dated transactions.


• Improved risk modelling capabilities across all Risk areas.


• Successful execution and continuous improvement of the Model Validation process and policy.


• Improvements in the efficiency of manual processes that cannot be outsourced to IT&C.


• Successful collaboration across teams, both internally and externally.


• Effective contribution to the development and capability of the Model Risk team.


• Continued development of knowledge and understanding of the company's growing business, trading activities and risk profile.

Experience & Qualifications

The successful candidate should have:

• 5+ 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 in model validation, including:




• Model documentation.


• Execution of model validation processes.


• Development and/or implementation of model validation policies.




• Experience maintaining and evolving a production-quality Python library.


• Experience working within a Japanese company or Japanese subsidiary would be advantageous.

Knowledge & Technical Skills

The successful candidate should demonstrate:

Quantitative & Risk Modelling

• Significant knowledge of pricing and risk models relevant to the energy industry.


• Strong understanding of quantitative risk management methodologies.


• Good understanding of modelling approaches for energy and commodity risk factors.


• Knowledge of best practices relating to model validation and model governance.


• Knowledge of non-commodity industry costs within the energy supply industry.

Programming & Technology

• Strong knowledge and practical experience of Python.


• Programming experience in at least two of the following:




• Python


• SQL


• VBA




• Experience developing and maintaining production-quality quantitative libraries and analytical tools.

Core Competencies

The successful candidate will demonstrate:

• Strong quantitative and analytical capabilities.


• Independent thinking and sound judgement.


• Ability to challenge and critically assess existing models and methodologies.


• Strong problem-solving skills.


• Ability to work effectively with both technical and non-technical stakeholders.


• Strong communication and collaboration skills.


• Ability to operate effectively in a changing and growing business environment.


• A proactive approach to identifying opportunities for improving risk methodologies and processes.