London, United Kingdom
£70,000 - £100,000
28 days ago
Treasury Model Validation Manager
London, United Kingdom
As a Treasury Models Validation Manager you’ll be the validator for Treasury and Capital Risk models used in different model frameworks (e.g. ICAAP, IST/ EBA/ BOE stress testing). The role will combine your qualitative and quantitative skills to work with the lead validator to correctly identify key issues & viable remediation actions and communicate results at different forums with exposure to senior stakeholders. The role sits within a team where knowledge sharing is highly promoted.
The client is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind them and offer careers that provide endless opportunity – helping millions of individuals and businesses thrive, and creating financial and digital solutions that the world now takes for granted.
What will you be doing?
• Maintaining detailed knowledge and understanding of internal Policies and Standards defining and supporting the assessment of Model risk
• Validating models looking into data quality, assumptions and limitations, model design and conceptual soundness, implementation, performance results, benchmarking
• Building challenger models (if needed) to support the validation review and challenge process for all new and existing models
• Conducting detailed examination of data and documents
• Producing high quality model validation reports and presentations to satisfy relevant model governance requirements
• Seeking direction on which issues are material but also having their own views on this
• Creating and maintaining the correct information in the Group model database for the set of validated models
What we’re looking for:
• A degree in quantitative subject (e.g. Math, Engineering, Statistics, Economics with quantitative minor; or equivalent
• Clear understanding of Interest Rate Risk, especially as applicable to Banking Book products
• Highly organised in terms of documentation and follow through
• Ability to communicate and influence effectively
Skills that will help you in the role:
• Knowledge of large gamut of Banking Book and Treasury products, relevant pricing models and both explicit and implicit embedded risks in them
• Experience with behavioural modelling
• Knowledge of applicable European and US IRRBB regulation
• Experience of coding using Matlab/ R/ SQL/ C++/ Python or equivalent language/ software
Where will you be working?
In the heart of Canary Wharf.