Credit Risk - Senior Manager

This is a new Senior Counterparty Credit Risk Manager (Model Validator) at a fast growing bank based in London. This role offers hybrid working flexibility. This role will join a high performing Model Validation team. The team is responsible for validating quantitative models as part of the independent model validation process. The risk department acts as a second line of defence in the control structure. The successful candidate will report to the Head of Model Validation. The purpose of the role is to act as the second line of defence on Model Risk and to validate the models used in the Bank. This team is responsible for performing model validation and model review for a wide range of pricing and risk models.

Responsibilities for this role include:

• Validating counterparty credit exposure and XVA models.
• Review of risk factor simulation models, backtesting and model calibration.
• Independently implement benchmark models, covering product specific implementations and features such as CSAs and netting.
• Validate the models from a mathematical and implementation perspective.
• Review the applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the models.
• Document model validation testing and findings to a high standard and follow up with stakeholders on identified modelling issues.
• Involvement in model validation of risk models other than counterparty credit risk and XVA models.
• Develop the capability to communicate and interact with different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal and external auditors.
• Conduct validations with minimal supervision in line with regulatory expectations.
• Participate in relevant technical committees and present model validation documents.
• Conduct model risk management processes including model risk monitoring and ongoing and periodic validation.
• Establish a strong working relationship with key stakeholders in front office, finance and risk functions.
• Provide stakeholders with answers to day-to-day requests while preserving long term objectives and regular schedule review.

Ideal Candidate:

• Excellent academic credentials. Masters or PhD degree in a quantitative field are required.
• Advanced knowledge of quantitative methods such as financial mathematics, stochastic processes and Monte-Carlo simulation.
• Extensive knowledge of and experience in validating counterparty risk models (PFE and XVA models).
• Good knowledge of regulatory standards and capital requirements under Basel III and SACCR.
• Good understanding of CCR and XVA risk measurement and management.
• Good high-level cross asset class product knowledge.
• Good coding skills (preferably C++) and working knowledge of Excel.
• Experience with Adaptiv Analytics for PFE modelling, Murex as a booking and risk management tool would be beneficial.
• Good written and verbal communication skills; ability to work independently.
• Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project based deadlines.