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Model Risk Analyst
RBS Royal Bank of Scotland
Stamford, CT, United States
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The Responsibilities
Functional Overview:
The Model Risk Management team within NatWest Markets provides independent review and validation of models across NatWest Markets including product valuation, algorithmic trading, market risk, and regulatory capital. The models can impact customer experience, support growth, and assist in maintaining the strength and sustainability of the bank. These models are used for customer, business and strategic decision making, as well as disclosures, and regulatory calculations or returns.
Role Summary:
You'll review and validate assigned models, primarily those for valuation of financial instruments, but also in other areas such as algorithmic trading, in order to make sure they're fit for purpose. You'll provide independent challenge and review of valuation and other models used within NatWest Markets and your work will cover a selection of models relevant to interest-rate, foreign exchange and credit products.
Role Responsibilities:
•Evaluate whether models are appropriate for their intended purpose, and ensure that significant model risks are identified, quantified where possible, and communicated to senior management and model end-users
•Advise on how model risk can be reduced or mitigated
•Challenge existing models and their uses where necessary, developing alternative models as appropriate, basing your conclusions on rigorous quantitative analysis
•Develop and extend your knowledge to include models for market risk, counterparty risk, regulatory capital and margin
•Create and maintain strong relationships with key internal stakeholders, as well as regulators and external and Internal Audit
•Communicate the findings of your model reviews, in formal written reports and verbally, in a way that is suitable for a variety of audiences, which will include senior management, regulators, model developers and end-users.
Role Qualifications:
•Postgraduate degree (at least Master's level, PhD preferred) in a highly-quantitative subject, such as Mathematics, Physics, Statistics or Quantitative Finance
•Expertise in complex quantitative modelling and analysis, gained through previous business experience in banking or other financial institutions, or through applied academic research
•Familiarity with financial markets and financial products
•Excellent written and verbal communication skills
•The ability to work independently on Pricing and Risk Model analytics, and to deliver multiple projects to demanding deadlines.
•Programming skills in C++/C# or a similar language
•Experience with either credit derivative models and traded credit products or with electronic/algorithmic trading will be a significant advantage