Risk Model Validation Analyst - Vice President Level

Location
Frankfurt
Salary
Salary £100-135K plus excellent benefits package, potential relocation package
Posted
02 Oct 2018
Closes
01 Nov 2018
Ref
RMV-HP375
Contract Type
Permanent
Hours
Full Time
Travel
0-25% Travel

Company overview

My Client is an Asia-based financial services group with an integrated global network spanning over 30 countries. By connecting markets East & West, and servicing the needs of individuals, institutions, corporates and governments through its three business divisions: Retail, Asset Management, and Wholesale (Global Markets and Investment Banking). 

Department overview:

The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches. 

Key objectives critical to success:

Primary responsibility is to conduct model validation, including model risk analysis, of all internal models relevant to my clients Financial Products Europe entity. Present results to the Senior Management and German Regulators. As a part of the global responsibilities, independent model validations of in-house Risk Models used for assessing the stability or business continuity of the group from the view point of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management. Activity is often project-based with extra emphasis on support of group operations in Eurozone, being driven by various regulatory requirements.

Skills, experience, qualifications and knowledge required:

Essential

  • A minimum of 6 years working experience in a quantitative environment 
  • A postgraduate degree in a quantitative discipline 
  • Established experience in quantitative financial models
  • Strong implementation skills (Python/C++)
  • Strong verbal and written communication skills
  • Self-motivated work attitude
  • Strong knowledge around Counterparty risk models

Desirable

  • Familiarity with Valuation and/or Risk Models (e.g. derivative pricing, counterparty credit risk models)
  • Familiarity with econometrics and general statistics
  • PhD (or equivalent) in a quantitative discipline
  • German language skills (Desirable, not essential)

Culture & Conduct 

  • Makes significant culture contribution
  • Sets diverse / inclusive work environment 
  • Demonstrates high professional integrity
  • Actively participates in development opportunities
  • Actively leverages strengths and addresses weaknesses

Client-Centricity & Business Acumen 

  • Expert in own business area, understands its market 
  • Generates commercial ideas to benefit clients
  • Identifies and articulates core issues
  • Assimilates and articulates complex information 
  • Develops workable recommendations

Strategy & Innovation

  • Translates divisional and firm-wide strategies into plans
  • Contributes innovative / entrepreneurial ideas
  • Builds on others' insights and turns ideas into reality
  • Knows when to decide / when to escalate
  • Recognizes and takes action when changing circumstances require new approaches
  • Adapts swiftly

Leadership & Collaboration 

  • Diligently and objectively evaluates own and others' performance throughout the year
  • Identifies quality people
  • Recognizes / communicates results, successes and learnings 
  • Collaborates within and across teams, involving the right people 
  • Supports / challenges colleagues
  • Enables formal / informal development
  • Anticipates potential conflict, takes steps to resolve

Communication & Connectivity 

  • Listens and communicates effectively at all levels
  • Moves negotiations / discussions forward
  • Gains co-operation / support for ideas
  • Grows / maintains internal / external network
  • Proactively works across teams / functions

Execution & Delivery

  • Inspires positive commitment in others
  • Keeps self / others focused on meeting goals 
  • Identifies conflicting priorities and manages accordingly
  • Communicates changes to plans to relevant people
  • Maintains commitment in the face of challenges
  • Handles difficult feedback positively and constructively
     

 

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