Model Audit Manager
Location City of London
Consultant Harriet King
Date posted 02 November 2016
An exciting opportunity has arisen for a quantitative modelling expert to join a model audit team with broad coverage across modelling in a large British banking conglomerate based in London. The role will involve models from the investment banking (incl. CVA, Capital, Risk and Front Office), Insurance, Corporate and Retail banking enterprises.
As a Model Audit Manager you will have the ability and technical aptitude to analyse the following financial models:
- Credit risk modelling and internal rating system development (regression based models, retail credit risk scorecards, CRR requirements thereof; credit provision modelling techniques; structural based models, reduced form models)
- Capital management frameworks and regulatory capital treatments
- Stress testing and scenario analysis, including qualitative and quantitative techniques for firm wide stress testing, and econometric modelling and forecasting;
- Actuarial and Insurance capital modelling, including reserving, catastrophe, longevity, liability and other insurance risk modelling, and solvency 2 requirements;
- Other banking capital modelling techniques, including for concentration risk, interest Rate Risk in the Banking Book; modelling of market risk in pension schemes; operational risks; concentration risk
- Derivative products (IR, FX, credit, hybrid, inflation), and modelling and calibration techniques for their pricing and risk management
- Key trading front office and risk applications, including analysis and modelling of market and credit risk, VaR, PFE, CVA, generic risk measures such as Greeks, and stress testing
- Cash flow modelling and financial economics
- Asset liability management
- Portfolio management and economic capital techniques; Profitability and customer segmentation analysis
- Liquidity risk pricing and modelling
The above is a fantastic indication of the types of coverage this role can provide.
AS the Model Audit Manager, you should have an understanding and some exposure whether academically or from industry in the below:
- The generic elements of a model life cycle, and their associated risks
- Effective model risk management and governance
- Statistical theory, analysis and inference
- Statistical and qualitative techniques for validating models
You will be technically oriented and comfortable in dealing with quantitative projects and business problems. This will be proven by a strong academic background in a quantitative discipline. You will be able to demonstrate experience of applying quantitative expertise in a financial or consulting environment as well as a sound grasp of the principles of statistical, mathematical and financial modelling.
This is an excellent opportunity to diversify your skill set into a financial services modelling expert whilst also becoming well versed in audit processes and strategy.
Please let Harriet King know if you would like to discuss this Model Audit Manager role further on firstname.lastname@example.org or 02075098258.