Counterparty Risk - Senior Model Validator
About the job
The Model Validation department is part of the Bank's Risk division. The team is responsible for validating quantitative models as part of the independent model validation process. The risk department acts as a second line of defence in the control structure.
What you'll be doing
The successful candidate will report to the Head of Model Validation. The purpose of the role is to act as the second line of defence on Model Risk and to validate the models used in the Bank. This team is responsible for performing model validation and model review for a wide range of pricing and risk models.
Responsibilities for this role include the validation counterparty credit exposure and XVA models. The role is a pivotal part of the ICBCS Model Validation team and an essential part of the ICBCS Risk Department.
Model Validation focused on counterparty risk models
* Validate counterparty credit exposure and XVA models. This also includes the review of risk factor simulation models, backtesting and model calibration.
* Independently implement benchmark models. This also covers product specific implementations and features such as CSAs and netting.
* Validate the models from a mathematical and implementation perspective. Review the applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the models
* Document model validation testing and findings to a high standard and follow up with stakeholders on identified modelling issues.
* Involvement in model validation of risk models other than counterparty credit risk and XVA models.
* Develop the capability to communicate and interact with the different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal and external auditors.
* Conduct validations with a minimal amount of supervision in line with regulatory expectations
Model Governance
* Participate in the relevant technical committees and present model validation documents.
* Conduct model risk management processes including model risk monitoring and ongoing and periodic validation.
What you'll need to be successful
* Advanced knowledge of quantitative methods such as financial mathematics, stochastic processes and Monte-Carlo simulation.
* Extensive knowledge of and experience in validating counterparty risk models (PFE and XVA models).
* Good knowledge of regulatory standards and capital requirements under Basel III and SACCR
* Good understanding of CCR and XVA risk measurement and management.
* Good coding skills (preferably C++) and working knowledge of Excel.
* Experience with Adaptiv Analytics for PFE modelling, Murex as a booking and risk management tool would be beneficial.
Why should you join us?
ICBC Standard Bank Plc (ICBCS) is a leading financial markets and commodities bank, driven to deliver the right outcomes for our stakeholders, clients, counterparties and markets. We benefit from a unique Chinese and African parentage and an unrivalled global network and expertise. We're headquartered in London, with operations in Shanghai, Singapore and New York.
We're a diverse and close-knit global team. We put people first, giving talented, self-driven professionals the flexibility, rewards and freedom to grow their expertise and realise their potential.
Our vison statement, "Be Yourself, Succeed Together" underpins our drive for an open and transparent culture which values difference, enabling everyone to thrive whilst being themselves. We have an active E, D&I forum and we're growing other employee network groups, including for women and neurodiversity.
We're committed to the principle of equal opportunities. All applicants will be treated equally and will be considered on their merits and skills without discrimination.
What's in it for you?
* Financial market-based pay based on skills and experience, discretionary annual bonus, pension contribution 10% (employee contribution 5%), travel insurance, life assurance and income replacement insurance.
* Hybrid working the option to work remotely up to two days per week, depending on the role.
* Family - 6 months fully paid maternity leave and enhanced shared parental leave. Coaching for family leave returners and access to emergency care via My Family Care. Miscarriage and menopause policies.
* Wellbeing - private medical insurance, Bike2Work scheme, health and fitness subsidy, holiday exchange and an Employee Assistance Programme.
* Community paid volunteering leave and Give As You Earn scheme. Vibrant CSR and engagement forums and fundraising for our charity partners.
* Development a suite of opportunities to build the skills you need to excel in your role
* If you're excited about becoming part of our team, get in touch. We'd love to hear from you
If you're excited about becoming part of our team, get in touch. We'd love to hear from you
ICBCS has appointed Robert Walters Outsourcing (RWO) to manage its recruitment process and Preferred Supplier List (PSL). Unsolicited CVs sent directly to ICBCS or its staff from non-PSL agencies will not be accepted and no fees will be paid for such submissions.