Modeller/Validator Role - Liquidity Risk Models - Bank

Mandatory Skills are:

- Liquidity Risk Models

- Model Validation

- Credit Risk Model

- Basel

- Stress Testing

- IFRS9

What will you be doing?

- Work on independent review of models across different spectrum of retail and wholesale portfolios

- Liquidity Risk Models - Models (LCR, ILAAP) used to calculate Bank's liquidity requirement and survival horizon in adherence to Liquidity Regulatory Requirements

- Interest Rate Risk in Banking Book (IRRBB) Models - models used for management and supervision of interest rate risk

- Stress Test Models - Climate Risk Stress Test, Internal Stress Test, Medium Term Plan, Prudential Regulation Authority (PRA) or Bank of England (BoE) Stress Test

- Capital Models - Models used to calculate Bank's capital requirement as per BASEL guidelines

- IFRS9 Models - International Financial Reporting Standard to calculate Expected Loss

- Diverse Banking Portfolios - for different banking products e.g. Wholesale (Corporate and Investment Bank) and Retail portfolios (Credit Card, Home loan etc.).

- Review regulatory requirements to ensure compliance with Basel III rules in IRB portfolios and support roll out portfolios moving to IRB.

- Perform technical analysis and/or build alternative benchmarks to new and existing models, in line with the requirements set out in the bank's standards and policies.

- Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions

- Wholesale portfolio knowledge

What we're looking for?

- Experience in a modeller/validator role in the Wholesale industry

- Strong analytical skills with experience in developing, validating and risk management of models

- Significant experience of coding in R/Python. Expert user of Microsoft Excel and other Microsoft Office tools.

- Good communication and influencing skills, ability to produce high quality written communication for technical and non-technical audiences.

- Sharp focus on gaps/issues identification and passionate about problem solving

- An ability to identify and analyse appropriate external data sources for model development or validation.

- Masters in Statistics, Mathematics, Finance, Economics, Operational Research, Physics