Main function of the job
Main duties and responsibilitiesIndependent Validation Unit – IHC Risk
The person filling the role would be expected to work on models across the department's remit, including CCAR finance regulatory models, as well as wholesale and retail credit models, market risk, and operational risk models, model performance under stressed environments, and models specifically designed for stress-testing. The role may become more specialised over time but team members must be able to adapt to shifting workloads across areas.
Director-level candidates will be expected to manage and supervise a team responsible for validation in a specific asset-class or product group.
Management (25%)Manage and supervise an asset-class group team, as well as model risk analysis and independent review & challenge of methodologies being validated.
Help to build a team at asset class level, articulating firm's value, carrying on team's culture as highly professional and independent model validation group. The role holder will set an example for junior team members as well as work collaboratively and share knowledge across the team.
Technical validation (55 %)
Personally lead model validation efforts, engaging with model owner and developers to ensure validation expectations around the supply of supporting materials required for validation are clear;
Perform technical analyses, data analyses, benchmarking, build challenger models (if needed) to support the validation review and challenge process for all new and existing models, to ensure accuracy of existing metrics to the standards required by Group Model Risk Policy and model validation standards and to drive continuous improvements in a full compliance with FRB SR11-7 guidelines ;
Produce high quality IHC IVU reports and presentations for relevant model governance committees, with a particular focus on noting limitations, weaknesses and assumptions
Support IVU management in their participation in different models committees, particularly the IHC Model Risk Committee and in conjunction with regulatory meetings.
Stakeholder interaction and Model Governance (20%)
Contribute to ensuring that the IVU team provides high quality input and guidance to modellers across the bank to achieve consistency of standards and compliance with internal and external requirements;
Ensure open, transparent, proactive and timely interaction with major stakeholders (subject matter experts, model owners/developers) in alignment withFirm Values and principles
Ensure that the Group Model Risk Policy, IHC Model Risk Standards and other relevant requirements are upheld
Risk and Control Objective
Person RequirementsHighly numerate, as demonstrated by Honours degree, Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Operational Research, Economics, or Finance , or a track record of performance that demonstrates this ability.
Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Operational Risk Framework and internalPolicies and Standards
Background in a quantitative role within risk management (credit/market/ operational), finance and/or project management in a financial institution
Significant experience in either model development or in model validation, hands-on experience in model development, model specification, model selection, model testing and validation
Able to produce high quality written communication including reviews of models, risk policies, and presentations for technical and non-technical audiences.
Leadership and management experiencePh.D. in quantitative fields, such as Mathematics, Physics, Operational Research, Finance, and Economics
Specialized in following modelling areas:
Retail /Wholesale Credit models
Derivative Pricing model
CVA and counterparty credit model
IRB /IMM models
Treasury Liquidity models
Balance sheet and RWA models
PPNR projection models
Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily credit and market risk.
Knowledge of computing and scripting languages.
Experienced as a senior member of a quantitative model validation asset-class team within an investment bank.
Skills and knowledge: (Specific product knowledge/PC skills/languages etc)Some of the below:Ability to manipulate large datasets
Experience in data quality and system testing
Familiarity with CCAR requirements, including governance and documentation standards.
Beyond risk management, knowledge in financial projection, capital management and treasury are highly desirable.
(e.g. team player, initiative, change agent, confident etc) Team Player
Ability to work within a large matrixed organization with competing requirements
Excellent communication and influencing skills