Senior Risk Manager - Morgan McKinley

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

Job summary

A leading company in finance seeks a Model Validation Specialist to validate models related to counterparty risk and XVA. The ideal candidate will possess a strong quantitative background, relevant coding skills, and the ability to document and communicate findings effectively. This role involves working closely with various stakeholders and participating in model governance to ensure compliance with regulatory standards.

Qualifications

• Excellent academic credentials required, specifically Masters or PhD in quantitative field.
• Extensive experience validating counterparty risk models (PFE and XVA).
• Flexibility to manage changing priorities while achieving deadlines.

Responsibilities

• Validate counterparty credit exposure and XVA models, including risk factor simulation models.
• Document model validation testing and follow up on identified issues.
• Participate in technical committees and manage model risk processes.

Skills

Quantitative methods

Financial mathematics

Stochastic processes

Monte-Carlo simulation

Model validation

Regulatory standards knowledge

Coding skills (C++)

Excel

Good communication skills

Education

Masters or PhD in a quantitative field

Tools

Adaptiv Analytics

Murex

Job description

Job Description

The successful candidate will report to the Head of Model Validation. The purpose of the role is to act as the second line of defence on Model Risk and to validate the models used in the Bank. This team is responsible for performing model validation and model review for a wide range of pricing and risk models. Responsibilities for this role include the validation counterparty credit exposure and XVA models.

Model Validation focused on counterparty risk models

Validate counterparty credit exposure and XVA models. This also includes the review of risk factor simulation models, backtesting and model calibration.

Independently implement benchmark models. This also covers product specific implementations and features such as CSAs and netting. Validate the models from a mathematical and implementation perspective. Review the applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the models

Document model validation testing and findings to a high standard and follow up with stakeholders on identified modelling issues. Develop the capability to communicate and interact with the different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal and external auditors.

Conduct validations with a minimal amount of supervision in line with regulatory expectations.

Model Governance Participate in the relevant technical committees and present model validation documents. Conduct model risk management processes including model risk monitoring and ongoing and periodic validation.

Key interfaces Establish a strong working relationship with key stakeholders in front office, finance and risk functions. Provide stakeholders with answers to day-to-day requests while preserving long term objectives and regular schedule review.

Qualifications and Experience

Excellent academic credentials. Masters or PhD degree in a quantitative field are required

Advanced knowledge of quantitative methods such as financial mathematics, stochastic processes and Monte-Carlo simulation.

Extensive knowledge of and experience in validating counterparty risk models (PFE and XVA models).

Good knowledge of regulatory standards and capital requirements under Basel III and SACCR Good understanding of CCR and XVA risk measurement and management. Good high-level cross asset class product knowledge.

Good coding skills (preferably C++) and working knowledge of Excel. Experience with Adaptiv Analytics for PFE modelling, Murex as a booking and risk management tool would be beneficial.

Good written and verbal communication skills; ability to work independently. Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project based deadlines.