- The candidate will also provide support to the Independent Model Review (IMR) team in validation of the proposed models or changes to existing models.
- This would then extend to remediation of the findings that the IMR team may raise.
- Analysis will also be required to answer any queries that the regulator may raise with respect to the model enhancements.
- Finally support would need to be given to Transformation teams in implementing these models.
- VAR/Stressed VAR knowledge/experience
- Market data/ time series/RNIV
The modelling would not be limited just to the new SOFR, SONIA, ESTER curves but also options on these curves and how their risks would be captured within the capital models. Capital impact assessment and backtesting would need to be performed in terms of finalising the models.
If you are interested in this role, please apply below or contact me for more information.
Eames Consulting is acting as an Employment Business in relation to this vacancy.