| Job Title: | Credit Risk Model Validation Analysts - Manchester |
|---|---|
| Reference: | A2-21-07-10 |
| Salary: | £40000 to £50000 per annum Benefits: Bonus & Benefits |
| Location(s): | Cheshire, Greater Manchester, Lancashire, Manchester |
| Industry(s): | Risk |
| Advertiser: | Aspire Data Recruitment |
| Employment Type: | Permanent |
| Posted: | 21-07-2010 |
Description:
Job Title: Credit Risk Model Validation Analysts x 2Location: Manchester
Salary: £40,000 - £50,000 + Bonus & Benefits
The Internal Validation Team (IVT) is a dedicated function, focused upon the independent validation of models developed in the Risk division for the measurement of key risks that arise in the business. The IVT play a key role in the model approval process, providing senior management with independent reviews of models and also engaging in dialogue with the external supervisors in final model approval. These models play a primary role in the calculation of regulatory capital, a fundamental measure in risk management.
Based in both London and Manchester the UK IVT forms part of the Global Internal Validation Team and, in addition to local reporting lines, reports into the central IVT located in Madrid. The UK IVT has a diverse remit covering credit risk model validation across Retail, Wholesale and Corporate Banking. In addition, the UK IVT remit also includes validation of Economic Capital methodologies, Pillar II models and exposure to market risk methodologies. Geographically the UK IVT is responsible for Group interests across North-East Europe, as well as the UK this Germany and will continue to expand into Norway and further into Eastern-Europe as regulatory model development and use progresses through the Group. During 2009 the UK IVT have also validated models in the US Bank, this activity is set to continue throughout 2010.
The Role, Key Responsibilities and Relationships
• To conduct independent reviews of newly developed and proposed models/methodologies
• You will identify key areas of weakness, agreeing these with model owners/developers, assigning ownership and agreeing remediation timescales.
• To track and monitor progress against previous validation recommendations
• This is a critical element of the ongoing validation process, helping to ensure that previously validated models follow a trajectory of continual improvement and evolution – changing to support the requirements of both business and the supervisory world.
• As well as the above points, models will be subject to periodic reviews and your contribution and ownership will be required in the validation of models against specific items of interest
• Review of technical documentation
• One of the key elements of a model review is the ability to understand technical documentation which has been written to describe the models that have been developed
• Creation of technical documentation
Technical Requirements
• Degree level education (or equivalent) in a quantitative field such as Mathematics, Statistics, Physics, Mathematical Finance etc... Postgraduate qualification/PhD would be advantageous
• A working knowledge of SAS, preferably used in a business context. Knowledge of alternatives such as E-Views, SPSS or any other statistical software advantageous
• Relevant work experience in Risk Management, either as a model developer or similar
• Appreciation/knowledge of regulatory compliance requirements such as Basel II
• Previous experience of Risk modelling techniques employed in Credit, Market (or Operational Risk) areas.
Please send your CV to info@aspiredata.co.uk or contact Phillip Hartley on 0845 850 4045.
