Audit Manager, Risk Modelling & Capital Methodologies
Fraser Carver Executive Search
January 11, 2018
London, United Kingdom
You will use your expertise to help lead, plan and execute risk based audits, and to manage stakeholder relationships, so that the department audits the modelling and capital methodologies that matters most to the Group.
You'll be strongly technically oriented and comfortable in dealing with quantitative projects and business problems, so strong academic qualifications in a quantitative discipline are essential. You'll demonstrate experience of applying quantitative expertise in a financial or consulting environment, in addition to possessing a sound grasp of the principals of statistical, mathematical and financial modelling.
In addition, we are looking for specific experience and technical aptitude in a number of areas – we don't expect you'll be an expert in all, but you'll have a deep knowledge of some of the following.
oThe generic elements of a model life cycle, and their associated risks
oEffective model risk management and governance
oStatistical theory, analysis and inference, and statistical and qualitative techniques for validating models
oCredit risk modelling and internal rating system development (regression based models, retail credit risk scorecards, CRR requirements thereof; credit provision modelling techniques; structural based models, reduced form models)
oCapital management frameworks and regulatory capital treatments
oStress testing and scenario analysis, including qualitative and quantitative techniques for firm wide stress testing, and econometric modelling and forecasting;
oActuarial and Insurance capital modelling, including reserving, catastrophe, longevity, liability and other insurance risk modelling, and solvency 2 requirements;
oOther banking capital modelling techniques, including for concentration risk, interest Rate Risk in the Banking Book; modelling of market risk in pension schemes; operational risks; concentration risk.
oFinancial mathematics, derivative products (IR, FX, credit, hybrid, inflation), and modelling and calibration techniques for their pricing and risk management;
oKey trading front office and risk applications, including analysis and modelling of market and credit risk, VaR, PFE, CVA, generic risk measures such as Greeks, and stress testing;
oCash flow modelling and financial economics;
oAsset liability management;
oPortfolio management and economic capital techniques; Profitability and customer segmentation analysis;
oLiquidity risk pricing and modelling
As well as these technical requirements, you'll have good influencing and motivating skills in a complex and diverse stakeholder environment and have a proven track record of delivery. Excellent analytical, presentational, verbal and non-verbal communication skills are essential.