VP Operational Risk Modelling

• Company

  Greenwich Atlantic Associates

• Location

  UK-London

• Remuneration

  Competitive

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  17-May-2013

• eFC Ref no

  1143432

The Role

• Support the delivery of the UK operational risk capital model. This includes the development of operational loss data parameter estimation methodology, external data scaling and extreme losses parameterization, correlation measurement approach, etc.
• Ensure timely development of system tools (e.g. data manipulation tools, parameter estimation and visualization tools, convolution algorithms) supporting the above development.
• Provide quality assurance (testing, documentation) on all quantitative elements of the operational risk model to ensure internal/external approval.
• Liaison with Validation team on various quantitative discussions regarding the capital modelling.
• Assist in the application of the operational risk framework.
• Building strong relationships with key stakeholders such as operational risk colleagues across the bank, model validation and the regulators.

The Candidate

• PhD / MSc in numerical principle.
• Proven work experience in a financial institution with solid understanding and practical experience of model development.
• Strong experience in VBA/S-Plus/R or other similar packages necessary.
• Experience in Basel II/RWA and Economic Capital requirements.
• Experience in an operational risk management role is strongly preferred.
• Excellent mathematical and computing skills.
• Team player but comfortable with self-working.
• Ability to communicate complex concepts to varied audiences in a logical and precise manner.