Risk Model Validation Quantitative Specialist - London

Jas Gujral; City Of London; On-site; GBP 60,000 - 80,000; Full time

Job summary

A leading financial institution in London is seeking a Model Validation Quantitative Specialist with 5 to 7 years of experience in IRB risk model validation. The candidate will conduct independent validations, communicate findings to management, and ensure compliance with UK regulations. Familiarity with analytical packages like R, MATLAB, and SAS is essential. A post-graduate degree in finance or mathematics and professional qualifications such as CFA or PRMIA are preferred.

Qualifications

• 5 to 7 years of experience in IRB risk model validation.
• Experience in retail banking credit systems.
• Educated in a finance or mathematical discipline to a post-graduate standard.
• Direct regulatory liaison with the Bank of England PRA preferred.

Responsibilities

• Conduct independent model validation and quantification of model risk.
• Validate models in accordance with UK regulations.
• Report model risk to management.
• Maintain awareness of upcoming regulatory documents.

Skills

Model validation

Communication skills

Analytical skills

Credit models knowledge

Regulatory understanding

Experience with analytical packages

Education

Post-graduate degree in finance or mathematics

Professional qualifications (CFA, PRMIA)

Tools

R

MATLAB

SAS

Job description

Overview

Model Validation Quantitative Specialist - London

Responsibilities

• Conduct independent model validation and quantification of model risk, including communication of key facts and issues identified through those activities.
• Validate models in accordance with UK regulations (CRR and SS 11/13) and industry best practice.
• Work across Retail Banking sectors including Secured, Unsecured and Corporate products.
• Demonstrate hands-on validation experience and expert knowledge in validation of credit models (IRB) within retail banking.
• Report model risk to management, with clear verbal and written communications.
• Interpret CRR and Supervisory Statements (SS 11/13) and IFRS 9 requirements.
• Have deep understanding of Credit Models, particularly PD, LGD and EAD, with associated data requirements and methodological approaches.
• Familiar with analytical packages (R, MATLAB, SAS) and the ability to rebuild the model offline to validate outputs.
• Possess fluent English language skills and effective verbal and written communication.
• Maintain awareness of upcoming regulatory documents and market trends.

Qualifications & Experience

• 5 to 7 years of experience in IRB risk model validation.
• Experience in retail banking credit systems.
• Track record of validating credit IRB models within retail banking.
• Experience in reporting of model risk to management.
• Educated in a finance or mathematical discipline to a post-graduate standard.
• Preferred professional qualifications such as CFA, PRMIA, etc.
• Direct regulatory liaison/relationship with the Bank of England PRA on retail model submissions, regulatory developments and capital impact assessments (preferred).
• Capital analytics experience within retail banking and experience presenting model risk papers to risk oversight committees (preferred).

Notes

• Investment banking quantitative experience is not relevant for this role.
• SAS model developers willing to move into validation may be considered for other roles.

Location & How to Apply

The position will be based in the City, London.

Please send your CV to us in Word format along with daily rate and availability.