Global Head of Traded Risk Model Validation, ERM
- Employer
- Standard Chartered
- Location
- Lambeth, UK
- Salary
- Competitive
- Closing date
- Oct 17, 2019
View more
- Job Role
- Risk Manager
- Sector
- Finance
- Contract Type
- Permanent
- Hours
- Full Time
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Job Description - Global Head of Traded Risk Model Validation, ERM (1900024638)Global Head of Traded Risk Model Validation, ERM - (1900024638)Job: AnalyticsPrimary
Location:
Europe & Americas-United Kingdom-LondonSchedule: Full-timeEmployee Status: PermanentPosting Date: 25/Sep/2019Unposting Date: OngoingA bank with a soulWe are a global bank which is big enough to be relevant to the world's most sophisticated corporations but small enough to be local, nimble and innovate. We tap into our DNA as a global trade bank, committing to the dynamic markets where we have operated for over 150 years. We link these markets with each other, as well as to Europe and the Americas, to help our corporate and institutional clients manage their global investing and financing needs. In addition, we use our deep knowledge in local markets to help our customers and clients grow, invest and protect their wealth. We believe that every one of our colleagues plays a tangible role in delivering our purpose and we all feel strongly about living our valued behaviours and our brand promise - Here for good. Our unrivalled network and unique culture make this organisation special, and creates opportunities for unparalleled career and development experiences. The success of the Bank hinges on how we harness our unique strengths, create an inclusive and flexible environment, and where our people feel empowered to use the freedom and accountability that we give them to go above and beyond for our customers. What is the Opportunity?The Global Head of Traded risk Model Validation will be responsible for all aspects of independent review and challenge of pricing, valuations, market risk and counterparty credit risk models used within SCB. The model universe covers all traded risk models and the entire suite of model changes driven by FRTB. The models cover regulatory capital, economic capital, stress testing and internal risk management applications. What will you do?
• Lead and oversee the end-to-end traded risk model risk validation process including technical assessment of adequacy of the modelling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the functional assessment of using the model for regulatory and business applications through performing validation tests, discussing findings with internal and external stakeholders.
• Provide effective challenge to model developers and identify model risks, including the issues with conceptual soundness, alignment with regulatory requirements/expectations.
• Assess the appropriateness of remediation actions proposed and undertake additional analysis & testing as necessary to size the impacts and ensure the risks are mitigated.
• Contribute to continuous improvements to the model risk management framework across the model lifecycle (both operational process effectives and functional aspects) including model validation, performance evaluation and ongoing monitoring.
• Contribute to strategic cross-functional initiatives within the risk management function in the area of model methodology and implementation design of traded risk models
• Liaise with key business stakeholders on Market Risk Model changes, supporting risk managers in all queries related to VaR and other portfolio risk metrics
• Provide thought leadership in technical matters/guidance on Market Risk Model mattersWhat do you need to succeed?
• Experience in traded risk modelling, preferably some experience in Model Risk Management with model validation responsibilities
• Minimum of a Master's degree is required, PhD is preferred in a quantitative field (e.g. Statistics, Economics, Mathematics, Physics, Engineering, etc.)
• Expert knowledge of risk factor modelling approaches (eg. historical simulation), PL representations and approximations.
• Expert knowledge of financial markets and the broader regulatory landscape.
• Experience with managing a team and building partnership with business stakeholders
• Live the Valued Behaviours of "Do the right thing", "Never settle" and "Better Together" on a day-to-day basis whilst seeking opportunities for self-development and growth
• Be an inspirational people leader who looks for opportunities to grow others, develop talent, give clarity and guidance, drive purpose, and enhance decision quality across the team
• Be a leader who helps to grow the Bank, harnessing a strategic mindset and the ability to navigate complex situations and ambiguityWhat's in it for you?
• The chance to lead a model validation function at a Global Systemically Important Bank (GSIB).
• Get experience of working on a large diversified emerging markets portfolio.
• Be part of one of the most well recognised emerging markets brands. Apply now to join the Bank for those with big career ambitions.
Location:
Europe & Americas-United Kingdom-LondonSchedule: Full-timeEmployee Status: PermanentPosting Date: 25/Sep/2019Unposting Date: OngoingA bank with a soulWe are a global bank which is big enough to be relevant to the world's most sophisticated corporations but small enough to be local, nimble and innovate. We tap into our DNA as a global trade bank, committing to the dynamic markets where we have operated for over 150 years. We link these markets with each other, as well as to Europe and the Americas, to help our corporate and institutional clients manage their global investing and financing needs. In addition, we use our deep knowledge in local markets to help our customers and clients grow, invest and protect their wealth. We believe that every one of our colleagues plays a tangible role in delivering our purpose and we all feel strongly about living our valued behaviours and our brand promise - Here for good. Our unrivalled network and unique culture make this organisation special, and creates opportunities for unparalleled career and development experiences. The success of the Bank hinges on how we harness our unique strengths, create an inclusive and flexible environment, and where our people feel empowered to use the freedom and accountability that we give them to go above and beyond for our customers. What is the Opportunity?The Global Head of Traded risk Model Validation will be responsible for all aspects of independent review and challenge of pricing, valuations, market risk and counterparty credit risk models used within SCB. The model universe covers all traded risk models and the entire suite of model changes driven by FRTB. The models cover regulatory capital, economic capital, stress testing and internal risk management applications. What will you do?
• Lead and oversee the end-to-end traded risk model risk validation process including technical assessment of adequacy of the modelling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the functional assessment of using the model for regulatory and business applications through performing validation tests, discussing findings with internal and external stakeholders.
• Provide effective challenge to model developers and identify model risks, including the issues with conceptual soundness, alignment with regulatory requirements/expectations.
• Assess the appropriateness of remediation actions proposed and undertake additional analysis & testing as necessary to size the impacts and ensure the risks are mitigated.
• Contribute to continuous improvements to the model risk management framework across the model lifecycle (both operational process effectives and functional aspects) including model validation, performance evaluation and ongoing monitoring.
• Contribute to strategic cross-functional initiatives within the risk management function in the area of model methodology and implementation design of traded risk models
• Liaise with key business stakeholders on Market Risk Model changes, supporting risk managers in all queries related to VaR and other portfolio risk metrics
• Provide thought leadership in technical matters/guidance on Market Risk Model mattersWhat do you need to succeed?
• Experience in traded risk modelling, preferably some experience in Model Risk Management with model validation responsibilities
• Minimum of a Master's degree is required, PhD is preferred in a quantitative field (e.g. Statistics, Economics, Mathematics, Physics, Engineering, etc.)
• Expert knowledge of risk factor modelling approaches (eg. historical simulation), PL representations and approximations.
• Expert knowledge of financial markets and the broader regulatory landscape.
• Experience with managing a team and building partnership with business stakeholders
• Live the Valued Behaviours of "Do the right thing", "Never settle" and "Better Together" on a day-to-day basis whilst seeking opportunities for self-development and growth
• Be an inspirational people leader who looks for opportunities to grow others, develop talent, give clarity and guidance, drive purpose, and enhance decision quality across the team
• Be a leader who helps to grow the Bank, harnessing a strategic mindset and the ability to navigate complex situations and ambiguityWhat's in it for you?
• The chance to lead a model validation function at a Global Systemically Important Bank (GSIB).
• Get experience of working on a large diversified emerging markets portfolio.
• Be part of one of the most well recognised emerging markets brands. Apply now to join the Bank for those with big career ambitions.
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