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Senior Quant – Model Risk Management

  • London
  • £85k-£110k

In response to heightened regulatory requirements, our client, a prestigious Japanese bank based in London are seeking a talented AVP Quant Analyst and VP Senior Quant Analyst to support the development, implementation, and delivery of the Model Risk Management Framework across the EMEA region.

Permanent Positions:

  • AVP Quant Analyst: Up to £85,000
  • VP Senior Quant Analyst: £110,000

Both roles report to the Head of Risk Modelling. The Senior Quant Analyst will take a leading role in managing the model risk governance framework.

Role Purpose:

  • Assist in developing models related to credit, market, liquidity, and climate risk.
  • Estimate regulatory capital through active participation in the Internal Capital Adequacy Assessment Process (ICAAP).
  • Support the Unity project in terms of model alignment and data integration while considering risks associated with the security portfolio and ancillary products.
  • Maintain relevant documents to meet regulatory and audit standards.

About the Team:

This Modelling team is part of the broader Risk Management Department. Responsibilities include designing, delivering, and coordinating various modelling projects such as Stress Testing, IFRS9, Climate Risk Assessment, and Operational Risk. The team also develops and continuously maintains the Model Risk Framework to ensure that risks associated with the model’s life cycle are appropriately captured and mitigated. Additionally, they engage in the ICAAP Stress Testing process for assessing regulatory capital.

Main Responsibilities:

  • Design, develop, and maintain the Model Risk Management Framework, including policies, procedures, model inventory, and model development standards.
  • Collaborate closely with the model validation team to ensure that all aspects subject to the Model Risk Management Framework are addressed in a timely manner.
  • Ensure accurate maintenance of the model inventory, including validation timelines and appropriate summaries, and escalate issues to the Model Risk Management Committee.
  • Participate in various ICAAP workflows, including Climate Risk estimation, risk tolerance setup, and stress testing calculations.
  • Produce portfolio analytics covering capital contributions for both Economic Capital and Regulatory Capital.
  • Assist in the development of models related to credit, market, liquidity, and climate risk.
  • Contribute to the production of stress testing methodologies, ensuring that existing methodologies are appropriate and up to date, and that documentation complies with the latest regulatory and audit requirements.
  • Knowledge and experience with security and derivative products are advantageous.

If you are a skilled quantitative analyst looking to make an impact and further your career, we encourage you to apply for these exciting opportunities.

Contact tg@barclaysimpson.com for an immediate application.

We seek individuals from a diverse talent pool and encourage applicants from underrepresented groups to apply to our vacancies. Our commitment to fair recruitment processes means that we welcome applicants from all backgrounds, regardless of their lived experience or personal characteristics. We also invite applicants who meet most of the listed requirements, even if not all, to apply. If you require any adjustments to the application process, please let us know.

Barclay Simpson acts as an Employment Agency for permanent positions and an Employment Business for temporary/contract engagements.