Manager - Market Risk Model - SAS/Python

- Work closely with the Head of Market Risk to drive product/service delivery, proposition development, proposals, recruitment, thought leadership and client delivery activities.

- Lead projects to ensure delivery within the scope, deadlines and budget set.

- Lead analysis, modelling and transformation projects and work with others in the team to deliver larger projects as required.

- Work with areas of the business to identify opportunities for increasing value through the application of analysis and modelling techniques.

- Present and discuss results with senior management and gain buy-in for initiatives.

- Work with operational managers to test the effectiveness of existing and new business strategies and synthesise the results with other knowledge to recommend new strategies and plans.

- Proactively identify areas for improving the Market Risk analytics capability.

- Undertake ad hoc activities as required.

- Ensure all data is managed securely, maintained appropriately and analysed correctly in line with Data Protection legislation and industry regulation.

- Work within the company Health and Safety policy.

- Lead the documentation of models in line with internal policy and regulatory requirements.

- Play an active role with the business on organising and leading projects set.

- Support the Senior Management Team in the identification of opportunities for and delivery of statistical analysis and modelling projects.

- Evaluate developments and develop new areas of specialism to take to the market.

Advisory:

Provide advisory services to clients on local Regulatory matters in the UK, Europe and UAE.

Advise clients on common and best practice in relation to analytical and modelling approaches.

Knowledge and Understanding required (competencies)

Academic - Bachelors, Masters or Phd degree in a numerical field such as Mathematics, Statistics, Physics, Economics/Econometrics or Financial Engineering with 8+ years working within a consulting firm, investment bank or wholesale bank within methodology, model validation, risk management or business transformation functions. Experience of working with banks in the UAE, UK or Europe would be an advantage.

Python, R or SAS. Experience of leading model development or validation initiatives using these packages, with hands-on experience in the past would be advantageous.

Risk Models (at least one area):

- Derivative pricing models: Rates, Equities, FX, Credit or Commodities.

- IRRBB models: EVE, NII or behavioural models (i.e. deposit stickiness, non-maturity deposits, prepayment risk, pipeline risk and margin compression/basis risk).

- Traded Market capital/RWA models: VaR, SVaR, IRC, FRTB IMA (ES and NMRF) and FRTB SA.

- Counterparty Credit Risk (CCR) covering PFE models, SA-CCR, IMM exposure models, FRTB-CVA (BA-CVA and SA-CVA). Initial margin models (ISDA-SIMM or dynamic initial margin) or xVA (CVA, DVA, FVA, MVA and KVA).

Knowledge of regulatory requirements such as Basel SRP 31, EBA guidelines on IRRBB, Fundamental Review of the Trading Book (FRTB), CRR2/CRR3, PRA CP 16/22, SS 12/13, SS 13/13, and model risk management guidelines (SR-11-7, SS 1/23 and CBUAE model management standards).