|
What does this job involve ? • Review of wholesale risk modelling and risk measurement Initially, this will be in the field of credit risk although there could be opportunity to branch out into economic capital modelling. The work involves assessing risk management practices within regulated firms and assessing them against international standards for capital requirements (Basel 2). • On-site visits to other organisations including interviews with staff of regulated firms coupled with desk-based review of documentation, formulation of findings, presenting results internally and to the firm and writing reports. • Develop thinking on 'test practice' in area of wholesale Risk Modelling • Providing challenge to the model review work of colleagues internally • Support to teams across the organisation in areas where risk analysis and risk modelling are used. • Occasional travel within the UK or abroad for a few days at a time may be required. Which Essential & Desirable skills are required? • Experience of wholesale model building, reviewing or validation gained within one or more firms with a significant corporate lending business. The candidate should be familiar with the main techniques of corporate / wholesale model development, statistical estimation processes, rating agency methodologies and market based methodologies such as KMV. • Role within a model building, review or validation team within a bank, consulting, rating agency or in a supervisory context. • Member of model review committee or similar risk committee. • Proven quantitative skills. Candidate will have experience within the finance industry in a quantitative role. In terms of specific areas of knowledge, candidate will need to demonstrate knowledge in calculus, linear algebra, probability and statistics and demonstrate ability to apply knowledge in these areas to problem solving. • Demonstrate a track record of using quantitative skills to influence management actions and business practices. Educational Qualifications required: • Strong academic qualifications in a numerate discipline, ideally to post-graduate degree level. • Proven ability to apply quantitative techniques is more important than any particular discipline. What will I get from the role ? • This position allows an unparalleled view of current wholesale PD, EAD & LGD modelling practices in the financial industry and how regulated firms are addressing the challenges posed by the Basel 2 framework • Candidate will engage on intellectually stimulating and demanding work • Candidate will have the opportunity to apply their well-developed technical ability to important real-world issues that impact on firms and on people
|
