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Vice President - Model Risk Management - BFS (8-12 yrs)
VP model risk management
- Oversee end-to-end activities focussed on delivering analysis for all aspects of Traded Risk Models: Model performance testing, Validation, development & enhancements
- Conduct & review production of various quantitative studies for Traded Risk models - such as Value at Risk (VaR), Incremental Risk Charge (IRC), Counterparty Credit Risk (CCR), CVA & Risk Not in VaR (RNIVs) required for regulatory submission
- Some of Key activities include periodic back testing of IMM & IMA engine. Conducting study such as Stressed EEPE window benchmarking & Validation. Testing/scenario analysis around model assumptions and identifying all sources of model risk
- Impact assessment of changes based on regulatory directive (such as FRTB) or model enhancement for the relevant committees
- Guiding, coaching and supporting on new risk metrics methodology, standards and toolsets; building capability and driving bank wide compliance
- Develop and maintain a suitably flexible team structure and approach that is able to adapt to changing priorities, including ad hoc requirements and enquiries (both internal and external (e.g. regulatory)) and when business continuity plans are invoked
- Actively consider and monitor the inherent, material risks of the business; assessed and mitigated to the desirable level (Market Risk Appetite) .
The Skills That You Need :
- Proven Track record in data driven analysis and statistical / stochastic modelling. Role require broader understanding of Traded Risk - including understanding of Rates, FX, Credit asset classes
- Should be able to effectively provide technical, execution & operational guidance to various sub-functions. This requires ability to understand the bigger picture & gain technical insight to act as effective advisor
- Masters/PhD degree in Numerate disciple is required, prior experience in leading a sub-function in quantitative area/market risk/Pricing model is essential
- Demonstrated ability to be a good people leader - required to formulate and set right practice to drive employee engagement
- Display behaviours in line with our standards
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