Vice President - Model Risk Management EMEA
The client is one of the world's leading financial groups. With approximately 350 years of history, The Bank is a global
network with around 2,300 offices in over 50 countries including the Americas, Europe, the Middle East and Africa,
Asia and Oceania, and East Asia. The group has over 150,000 employees, offering services including commercial
banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing.
As one of the top financial groups globally with a vison to be the world's most trusted, they want to attract, nurture
and retain the most talented individuals in the market. The size and range of the bank’s global business creates
opportunities for employees to stretch themselves and reap the rewards, whilst their common values, to behave with
integrity and responsibility, and to build a culture which is fair, transparent, and honest, underpin everything that
they do. The business aims to be the financial partner of choice for their clients, whatever their requirements,
building long-term relationships, serving society, and fostering shared and sustainable growth for a better world.
Enterprise Risk Management (ERM) is responsible for supporting the EMEA Chief Risk Officer to implement an
effective risk governance framework across EMEA, and providing a holistic view of the risks facing the bank in EMEA,
including environmental and social risk management.
The Model Risk Management (MRM) within ERM is responsible for model governance and the validation of models
used by the bank in EMEA. This includes, among others, risk models which are used for risk measurement and
decision-making purposes. MRM works closely with Risk Analytics and Front Office quants to ensure that all risk
models are validated on a periodic basis as well as at inception and changes. MRM provides regular model risk
reporting to model oversight committees and the Board.
Initial and periodic validation of quant models
• Quantitative analysis and review of model frameworks, assumptions, data, and results
• Designing, modelling and prototyping challenger models
• Testing models numerical implementations and reviewing documentation
• Checking the adherence to governance requirements
• Documentation of findings in validation reports, including raising recommendations for model improvements
• Ensuring models are validated in line with regulatory requirements and industry best practice
• Tracking remediation of validation recommendations
• Preparation of model risk reporting for Model Oversight Committee and Board
• At least 5 years of experience in quantitative modelling (model development or validation) in one or more
of these topics:
o Market risk models
o Counterparty credit risk models
o Capital models (Economic/Regulatory)
o Corporate credit risk models (IRB, PD/LGD/EAD)
• Experience with derivatives pricing models
• Strong background in Math and Probability theory - applied to finance.
• Strong knowledge of Data Science and Statistical inference techniques.
• Good understanding of financial products.
• Good programming level in Python or R or equivalent.
• Good knowledge of simulation and numerical methods
• Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
• Modelling and pricing of financial derivatives
• Experience with AI models
• Experience with C++ or C# or equivalent
• Up-to-date knowledge of regulatory capital requirements for market and credit risk
• A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance,
Managing Conflicts of Interest
• The role holder will have responsibilities for both the Bank and the Securities business across EMEA plc.
• The role holder will be required to perform their duties and responsibilities on an entity neutral basis, without
• The role holder is required to follow regulatory requirements applicable to ensure each business is appropriately
supported and to maintain the legal entity integrity of each of the Bank and the securities arm.
• Working terms are dictated by functional mandates, the terms of the Dual-Hat Arrangement Agreement in place
between the Bank and the Securities EMEA plc arm and any other relevant agreements entered into between
the Bank and the Securities EMEA plc business.
• The role holder will have responsibility for identifying and resolving where there may be a difference or conflict
in needs between the Bank and the Securities EMEA plc business, escalating to their manager where required.