VP – FRTB Model Risk

Our client is a global banking group with a successful, growing markets franchise.  The bank is seeking IMA approval for its market risk models under FRTB, and has mobilised a cross firm programme team to deliver this approval.

A key stakeholder in the programme is the firms Model Risk function, and the team is currently seeking an exceptional market risk quant with strong quantitative skills to be the MRM representative in the FRTB model delivery.  The role will involve working on the initial phases of the FRTB project and associated change-the-bank activities, incl. the model landscape design activities as they relate to model risk, with subsequent opportunities to move into model validation for the respective models.

Key tasks will be as follows:

• Engage with stakeholders and represent MRM in various working groups set-up to drive decision making & delivery progress tracking during the initial phases of the FRTB project.
• Consider model risk governance & validation requirements to support planning & model risk management activities during the initial phases of the FRTB project.
• Independently performing and documenting analysis and testing of FRTB models as well as other relevant calculations and approached utilised as part of the market risk as required.
• Identify and negotiate prioritisation of activities, including build-out and/or remediation, within the team as well as with other stakeholders.
• Justify and defend their analyses and conclusions.
• Contribute towards the continuous innovation and improvement in efficiency and effectiveness of technical approached and processes within the group, including discussion of overall model landscape strategy

The successful candidate should be operating at a VP level or equivalent, with demonstrable experience taking ownership of major market risk related modelling projects, either as a model validator or model developer.  This could be in another bank, a consulting firm or regulator.  A Masters or PhD in a relevant subject is a requirement, as is the ability to communicate effectively and succinctly with technical and non-technical audiences.

This is an excellent opportunity to play a key role in the delivery of one of the largest FRTB IMA implementations in the UK.