Job Description

We are AMS. We are a global total workforce solutions firm; we enable organisations to thrive in an age of constant change by building, re-shaping, and optimising workforces. Our Contingent Workforce Solutions (CWS) is one of our service offerings; we act as an extension of our clients\' recruitment team and provide professional interim and temporary resources.

Our client Lloyds Banking Group is a leading UK based financial services group providing a wide range of banking and financial services, focused on personal and commercial customers. Lloyds Banking Group support a culture of Inclusion and opportunities to develop to become the Bank of the future and Helping Britain Prosper.

On behalf of Lloyds Banking Group, AMS are looking for a Quantitative Analyst - Market Risk Model Validation for a 6 months based in London (Hybrid).

Purpose of the Role:

The Market Risk Model Risk and Validation (MRAV) team is responsible principally for providing effective, robust and independent oversight of, and challenge and support to, a suite of market risk models. The Quantitative Analyst - Market Risk Model Validation will be responsible for the validation of reimplementation of various Counterparty Credit Risk (CCR) model outputs.

Responsibilities of the role:

As a Quantitative Analyst - Market Risk Model Validation you will be responsible for:

• Perform independent validation of approaches proposed by the model owners, in particular around the compliance for incurred CVA in SA-CCR, and addon implementation for repo, CDS and intra-day CCR exposure
• Independently reproduce the implemented methodologies. Build alternative methodologies as appropriate
• Perform reviews of testing performed by the model owners and other stakeholders
• Liaise with stakeholders to get the model methodologies, data, documentation, and tools
• Provide constructive feedback to the model owners to improve the models/analysis
• Document the analysis and the conclusions of the reviews to high standards
• Present the findings to the management/committee as appropriate
• Improve existing documentation related to the models in scope of this engagement
• Provide support to team members on other project/workstream

What we require from the candidate:

• A strong academic background in a discipline relevant to quantitative risk modelling
• Experience of market risk model development and validation; ideally also including experience of market risk model oversight and governance
• Practical knowledge of the regulatory SA-CCR calculation and PFE models
• Strong programming skills (Python, VBA, C++, or R) in order to independently reproduce the model
• Strong relationship management and influencing skills
• A successful track record of delivery of change in market risk modelling

Next steps

Lloyds Banking Group will only accept workers operating via an Umbrella or PAYE engagement model.

If you are interested in applying for this position and meet the criteria outlined above, please click the link to apply and we will contact you with an update in due course.

AMS, a Recruitment Process Outsourcing Company, may in the delivery of some of its services be deemed to operate as an Employment Agency or an Employment Business

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