Free-Work UK
Risk Model Validation Quantitative Specialist - London (IT) / Contractor
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Model Validation Quantitative Specialist - London
We require a Model Validation Risk Quant with at least 5 to 7 years of experience in IRB risk model validation.
The candidate should be experienced in conducting independent model validation and quantification of model risk including necessary communication of key facts and issues identified through those activities.
They must have hands-on experience of validation and expert-level knowledge of validation of models according to the UK regulations (CRR and SS 11/13) and industry best practice.
We have vacancies in Retail Banking across Secured, Unsecured, and Corporate products.
Must have
- Retail banking credit systems experience.
- Experience in validating credit IRB models within retail banking.
- Experienced in reporting of model risk to management.
- Good verbal and written communications skills.
- Knowledgeable in interpreting the CRR and Supervisory Statements (SS 11/13), knowledgeable in IFRS9.
- In-depth understanding of Credit Models particularly PD, LGD, and EAD with associated assumptions, data requirements, and methodology approach knowledge.
- Familiarity with analytical packages such as R, MATLAB, SAS.
- Possess the ability to rebuild the model offline for the purposes of validating outputs.
- Fluent in English language and excellent verbal and written communications skills.
- Knowledgeable in upcoming regulations consultative documents and market trends.
- Educated with an associated finance or mathematical discipline to a post-graduate standard.
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- Professional Qualifications such as CFA, PRMIA, etc.
- Direct regulatory liaison/relationship with the Bank of England Prudential Regulation Authority (PRA) on all retail model submissions, regulatory developments, and capital impact assessments.
- Any capital analytics experience within retail banking.
- Presentation of model risk papers for the risk oversight committees.
Additional Notes
- Investment banking quantitative experience is not relevant for this role.
- SAS model developers willing to move into validation may be considered for other roles.
- The position will be based in the City of London.
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