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Job

Credit Risk Model Validation

  • Location

    London

  • Sector:

    Financial Services and Banking

  • Job type:

    Contract

  • Contact:

    Stuart Grimmond

  • Contact email:

    s.grimmond@hamlynwilliams.com

  • Salary high:

    0

  • Salary low:

    0

  • Published:

    7 months ago

  • Expiry date:

    2020-05-14

We are working on have a mandate with a Global Investment Bank that is looking for a Senior Contract resource to provide SME knowledge to their Credit Risk Model Validation team.

Responsibilities will include:

• Providing Subject-matter-expert in relation to the IRB model validation and IRB model regulations (such as PRA rules, EBA rules, HKMA requirements) across all asset classes (with focus on wholesale and commercial portfolios PD, LGD and EAD models)

• Perform an independent validation of new and existing models that are used in risk management, capital calculation, stress testing etc.

• Qualitative review of model development process including underlying assumptions & theoretical basis.

• Quantitative assessment of model performance via data evaluation and statistical testing.

• Documentation of validation findings and communication of results to senior management and presentation to relevant committees.

This will be a 3 month contract initially but likely to be extend beyond six months, working and hiring remotely.

If this is of interest, please submit your application to s.grimmond@hamlynwilliams.com to be considered.