Risk Model Validation Quantitative Specialist - London

Jas Gujral; London; On-site; GBP 60,000 - 90,000; Full time

Job summary

A leading financial institution in London is seeking a Model Validation Quantitative Specialist to validate IRB credit models within retail banking. The ideal candidate will have extensive experience in model validation, regulatory knowledge, and the ability to communicate complex findings effectively. This opportunity offers competitive compensation and the chance to contribute to critical banking operations in a dynamic environment.

Qualifications

• 5-7 years of experience in IRB risk model validation.
• Hands-on experience with validation according to UK regulations.
• Strong track record in validating credit IRB models.

Responsibilities

• Conduct independent model validation and quantify model risk.
• Communicate key findings and issues to management.
• Validate models according to UK regulations and industry best practice.

Skills

Independent model validation

Model risk quantification

Communication skills

Knowledge of CRR

Knowledge of IFRS9

Credit models knowledge

Analytical software (R, MATLAB, SAS)

Regulatory knowledge

Education

Postgraduate qualification in finance or mathematics

Tools

R

MATLAB

SAS

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 oversite 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.