Credit Risk Role - Model Development/Validation - BFS

 Skill set required - Credit Risk (PD, LGD, EAD) model development/ validation experience with one of the following coding experience - R, SAS, SQL.

Key Accountabilities: 

- To work as part of the HNAH IMR function in the delivery of Model appraisals;

- Responsible for model review on the following areas: Global Markets Front Office valuation and hedging models, market risk model and counterparty risk models, Balance Sheet Management models, Asset Liability Management models, Asset management models;

- Independently review the models being assigned, fully understand the model theory and model assumption, and verify the formula derivation;

- Develop independent models to validate the model implementation correctness and identify the model shortcoming, assumptions, limitations;

- Communicate the model review findings to model developer and owners. Ensure model limitations are correctly identified, understood, and managed;

- Write high quality model appraisal reports, including conclusion, recommendation, detail analysis in model theory, formula, and testing;

- Participate in model control, governance, and monitoring. Assist in reporting requirements, producing detailed updates for Model Oversight Committees, Senior Internal Stakeholder Groups and Regulators;

- Mentor less experienced analysts and provide expertise and technical support across multiple projects;

- Work with Senior Managers across IMR to build relationships with Model Developers / Owners.

Skills/ Experience Required:

- Master's degree in Mathematics/Statistics/Finance/Economics/Computer Science/Engineering, or other quantitative fields. Bachelor's degree from top schools in the above area with exceptional academic records and strong knowledge in financial modeling may also apply;

- Experience in the financial/banking industry;

- Experience of financial modeling experience in one or more financial products like Equity, Interest Rates, FX or Credit

- Must have one or more of the following areas: Derivative Pricing Models, Traded Risk models, Statistical Models;

- Must have background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis

- Knowledge of programming skills in one or more of C/C++, VBA, R, SAS, Matlab, Java;

- Experience of conducting independent model reviews is a plus;

- Fluency in English both spoken and written