Risk Model Validation Quantitative Specialist

Jas Gujral; Greater London; On-site; GBP 80,000 - 100,000; Full time

Job summary

A leading financial institution in Greater London is seeking a Model Validation Quantitative Specialist with 5-7 years of experience in model validation. The ideal candidate will have hands-on experience with IRB models and a strong understanding of UK regulations. Responsibilities include conducting independent model validation, reporting model risk, and interpreting regulatory documents. Strong communication skills and familiarity with analytical packages like SAS, R, and MATLAB are essential. Please submit your CV in Word format along with your daily rate and availability.

Qualifications

• 5-7 years of experience in model validation in retail banking.
• Hands-on experience of validation according to UK regulations.
• Ability to rebuild models offline for validation.

Responsibilities

• Conduct independent model validation and quantification of model risk.
• Report model risk to management.
• Interpret CRR and Supervisory Statements.

Skills

Model validation

Quantitative analysis

Communication skills

Knowledge of CRR and SS 11/13

Expertise in IRB models

SAS

R

MATLAB

Education

Postgraduate degree in finance or mathematical discipline

Job description

Model Validation Quantitative Specialist - London

We require a Model Validation Risk Quant with at least 5 to 7 years of experience in IRB risk model validation.

The candidate should be experienced in conducting independent model validation and quantification of model risk including necessary communication of key facts and issues identified through those activities.

They must have hands on experience of validation and expert level knowledge of validation of models according to the UK regulations (CRR and SS 11/13) and industry best practice.

We have vacancies in Retail Banking across Secured, Unsecured and Corporate products.

Must have retail banking credit systems experience.

Must have Experience.

• A track record of validating credit IRB models within retail banking.
• Experienced in reporting of model risk to management. Good verbal and written communications skills.

• Knowledgeable in interpreting the CRR and Supervisory Statements (SS 11/13), Knowledgeable in IFRS9.
• In depth understanding of Credit Models particularly PD LGD and EAD with associated assumptions, data requirements and methodology approach knowledge.

• Familiarity with analytical packages such as R, MATLAB, SAS.
• Possess the ability to rebuild the model offline for the purposes of validating outputs.
• Fluent in English language and excellent verbal and written communications skills.

• Knowledgeable in upcoming regulations consultative documents and market trends.
• Educated with an associated finance or mathematical discipline to a post graduate standard.

Preference will be given to candidates who have the following additional experience:

• Professional qualifications such as CFA, PRMIA etc.
• Direct regulatory liaison/relationship with the Bank of England Prudential Regulation Authority (PRA) on all retail model submissions, regulatory developments and capital impact assessments.
• Any capital analytics experience within retail banking.
• Presentation of model risk papers for the risk oversight committees.

Additional 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.

The position will be based in the City London.

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