Jobs, fresher vacancy - Associate Risk Officer, Model Validation • UK

Company: European Bank for Reconstruction & Development

UK

European Bank for Reconstruction & Development Purpose of Job Associate Risk Officer, Model Validation, supports Associate Director, Model Validation, in reviewing, challenging and validating quantitative models used to support Treasury, Risk Management and Controllers activities, including recording of Treasury trades, valuation of collateral, measurement of market and credit risk, as well as assessment of economic capital utilisation. The incumbent plays critical role in ensuring that the Bank complies with industry best practice in documenting, testing and validation of quantitative models and that its quantitative techniques reflect applicable market standards. Background Model Validation is a function within Risk Policy & Analytics unit of the Risk Management department. The function is responsible for validation of quantitative models developed in-house and by external vendors for the purpose of financial reporting and calculation of key risk metrics. Strong, independent and competent model validation function is a necessary component of the assurance process supporting financial reporting and key element in mitigating model risk. The models reviewed and approved by the function cover: (i) construction of derived market data, (ii) measurement of market, credit and liquidity risk, (iii) measurement of economic capital and (iv) valuation of financial assets of the Bank for the propose of financial reporting. Facts / Scale • No direct reports or budgetary responsibility • Subject matter expert in the wide area of quantitative analytics and modelling • Key internal clients/relationships: Treasury, Finance, Controllers, other teams in Risk Management, IT and Internal Audit. Externally, risk system vendors, data providers and colleagues at other multilateral development and investment banks, as well as rating agencies and, the Bank's auditors. Accountabilities & Responsibilities • Conduct an annual review of models used by the Bank, including those for measuring market and credit risk, to ensure continued compliance with market practice and adequacy in light of evolving market conditions. Identify gaps, suggest improvements, and formulate prioritised action plans. • Conduct reviews, as required, of market data inputs into models, including choice of data and assumption driving key data models (e.g. yield curve construction). • Assist in articulating standards for documentation, testing and quality assurance for all internally developed quantitative models and applications. Check compliance and assist with improvements to existing processes when required. • Conduct full model validation of internally developed quantitative models. This should involve developing alternative modelling tools based on documented approach and set objectives, benchmarking of results with the validated model, code review, error trapping and recovery, as well as assessment of completeness of documentation. • Conduct review of new pricing codes, including consistency checks, verification of P&L explanations, validation of numerical methods used, payoff-function, etc. • Maintain network of industry contacts and up to date knowledge of market best practice in quantitative modelling techniques, including most recent development in response to evolving market conditions and regulatory requirements.Interact directly with the development teams within Risk, Treasury, and Finance during the validation and review process to ensure that the documentation provided meets the required quality standards and that the testing evidence is sufficiently robust. • Collaborate with all members of the Model Validation team to ensure that the various approval and validation deadlines are met consistently and efficiently • Maintain and enhance the team's model inventory, ensuring it remains accurate, comprehensive, and up to date. Knowledge, Skills, Experience & Qualifications • PhD/Masters in finance, maths or the sciences. • Relevant capital markets experience with leading financial institution(s), notably in the fields of model risk/validation or developing or testing pricing models and/or market risk measurements. • Strong analytical skills. • Ability to explain complex quantitative concepts in an accessible way and proven English language drafting skills. • In-depth theoretical and practical understanding or substantial familiarity with: options pricing theory, stochastic processes, Monte Carlo simulation and/or value-at-risk and stress testing. • Good understanding of major capital markets instruments across asset classes, notably with respect to derivatives (including credit derivatives and hybrids). • Familiarity with any of the following: C++, Python, Matlab, R, Quic, Summit and/or NumeriX would be a plus. Competencies & Personal Attributes • Good communication and inter-personal skills with the ability to apply this across levels and functions. • Demonstrated ability to work to deadlines and under time pressure. • Demonstrated ability to think strategically and implement accordingly. • Attracted to the multi-cultural environment of EBRD as well as to the mission of the Bank with its challenges and opportunities. What is it like to work at the EBRD? Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in. The EBRD environment provides you with: - Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in; - A working culture that embraces inclusion and celebrates diversity; - An environment that places sustainability, equality and digital transformation at the heart of what we do. Diversity is one of the Bank's core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time. Please note, that due to the high volume of applications received, we regret to inform you that we are unable to provide detailed feedback to candidates who have not been shortlisted (for further consideration). Right to Work in the UK: Swiss nationals (and all other non-UK employees) can work in the UK without a Visa - working at the EBRD gives all employees "exempt status". The Bank however encourages all non-UK employees to obtain an Exempt Vignette (EV) prior to relocating to the UK, as without an EV you may face more questions at Border Control and when required to show evidence of their exempt status when renting accommodation under the Right to Rent legislation. The application process may take 3 – 4 weeks approx. outside of the UK. How cinfo Can Support You in the Application Process for This Position - Application and Interview Preparation: Whether you're preparing your application documents or getting ready for an interview, you can book a Job Application Support session to receive tailored guidance. - For Swiss nationals invited to the first round of the selection process (e.g., written test, interview, assessment center): Notify us at recruitment@cinfo.ch, and we will inform our HR partners in the respective organization and the Swiss Government to help increase your visibility. "Important Application Information: Please submit your application only via the official website of the hiring organization or by using the "Apply" button on CinfoPoste, which will redirect you to the organization's application site. Applications submitted through other job portals will not be forwarded to the respective organization and will not be considered. To ensure your application reaches the right destination, always follow the official application process as indicated in the job posting." Sector: Nonprofit/Community/Social Services/International Cooperation Role: Other Working hours (%): 80-100% / 100%