Consultant at Black Turtle
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Assistant Manager - Risk Management/Independent Model Review - Bank (1-4 yrs)
Hiring for a MNC Bank
As an integral component of Risk Management Framework, the purpose of Independent Model Review (IMR) is to assess all models used within the Group. The function provides the Group's Management, Regulators and Shareholders with the necessary assurance that the Bank's models are well controlled and fit for purpose. This is achieved through:
- Best in class technical expertise, analysis and challenge;
- In-depth knowledge of regulatory requirements, business and market practice;
- Examination of model risk including assumptions, limitations and implications of the use of a model.
- Independent Model Review (IMR) is a critical second line of defense function. Its mission is to protect and enhance shareholder value through effective challenge of models and critical processes implemented for use.Examples of Models that IMR currently reviews include: Global Markets Trading & Hedging models, Comprehensive Capital Analysis and Review (CCAR), Economic Capital models, Traded Risk, Retail and Wholesale Credit Risk, Operational Risk models, Anti Money Laundering, Stress Testing and Scenario Analysis models, Asset Liability Management models, etc.
- To work as part of the HNAH IMR function in the delivery of Model appraisals;
- Responsible for model review on the following areas: Global Markets Front Office valuation and hedging models, market risk model and counterparty risk models, Balance Sheet Management models, Asset Liability Management models,Security Service (models for Hedge Fund Admin), Asset management models;
- Independently review the models being assigned, fully understand the model theory and model assumption, and verify the formula derivation;
- Develop independent models to validate the model implementation correctness and identify the model shortcoming, assumptions, limitations;
- Communicate the model review findings to model developer and owners. Ensure model limitations are correctly identified, understood, and managed;
- Write high quality model appraisal reports, including conclusion, recommendation, detail analysis in model theory, formula, and testing;
- Participate in model control, governance, and monitoring. Assist in reporting requirements, producing detailed updates for Model Oversight Committees, Senior Internal Stakeholder Groups and Regulators;
- Mentor less experienced analysts and provide expertise and technical support across multiple projects;
- Work with Senior Managers across IMR to build relationships with Model Developers / Owners.
Skills/ Experience Required
- Experience of financial modeling experience in one or more financial products like Equity, Interest Rates, FX or Credit
- Must have one or more of the following areas: Derivative Pricing Models, Traded Risk models, Statistical Models;
- Must have background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis
- Knowledge of programming skills in one or more of C/C++, VBA, R, SAS, Matlab, Java;
- Experience of conducting independent model reviews is a plus;
- Fluency in English both spoken and written
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