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Market Risk Modelling - ALM

Salary £55k to £65k
Type Permanent
Location London
Sector Credit & Risk Management
Job Reference T55/TXH/25039
Contact Tim Holbrough
Date posted 06-12-2016

The Market Risk Model Review function is responsible principally for providing effective, robust and independent oversight of, and challenge and support to, a suite of market risk and ALM models. The job holder will principally be responsible for overseeing market risk and ALM models, covering Value at Risk, Pension, Portfolio, Potential Future Exposure, and Asset Liability models.

In summary, the role will be demanding, but stimulating and varied, and with potential for self development within a committed and energetic small team environment, adding substantial value in an increasingly important area.

The job holder’s core accountabilities will include:
o Detailed evaluation of market risk and ALM models, including their: design, calibration and validation; operation; usage; reporting; and governance.
o Expert input into model development, selection, validation, back-testing, stress testing and review;
o Advising risk teams on the most appropriate quantitative estimation, validation and stress testing methodologies to use;
o Developing robust and professional working relationships with key stakeholders in business units and Group Audit;
o Assisting the Head Market Risk Model Approval and Senior Manager in the continuous challenge, development and enhancement of the function to ensure it remains appropriate and aligned to the Group’s internal, and the accepted external governance requirements;

The successful candidate is likely to have:
o A strong academic background in a discipline relevant to quantitative risk modelling
o Experience of market risk model design, development, construction, calibration, validation and stress testing; ideally also including experience of market risk model oversight and governance
o Sound knowledge of the regulatory requirements for market risk modelling including emerging regulatory requirements
o Strong relationship management and engagement/influencing skills
o A successful track record of delivery of change in market risk modelling

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Contact Tim about this job

AVP, Consultant