Model Risk Management Lead

Employer: LSEG Romania
Domain:
  • Internet - eCommerce
  • IT Hardware
  • IT Software
  • Job type: full-time
    Job level: 1 - 5 years of experience
    Location:
  • BUCHAREST
  • Updated at: 18.05.2022


    Bucharest Senior Model Risk will lead Bucharest model risk team:
    o Manage Bucharest Model Risk team of 6 analysts and senior analysts
    o Lead model validation and governance work of Bucharest Model Risk team.

    Key areas of coverage are:
    o Pricing models
    o Fixed Income pricing and curve construction models
    o Risk suite of models; risk margining models and pricing tools for Post Trade
    o AI & Machine Learning Models
    o Commodities forecasting models
    o ESG & Investment Models

    Environment

    LSEG's vision is to be the most trusted expert in global financial markets. This is achieved through leading the world in providing access to capital, helping customers optimise capital resources and promoting trusted and transparent environments and services for investment.

    LSEG is a diversified international exchange Group that sits at the heart of the world's financial community. The Group operates through four key business divisions; Capital Markets (broad range of international equity, bond and derivatives markets), Post Trade (post trade and risk management services), Global Technology Services (high performance trading platforms and capital markets software) and Information Services (real-time and reference data products).

    LSEG prides itself on operating a neutral, trusted, well-regulated and systemically important market infrastructure and does this within a fast paced, real-time and highly regulated environment. The Group is accountable to its shareholders, clients, regulators and the societies in which it operates, and the Group Values and Behaviours underpin how the Group meets those accountabilities.

    Impact

    o Assess adequacy of monitoring, maintenance, and documentation of models and quantitative methods
    o Assess mathematical and technical considerations for assumptions, limitations, and performance used in models and quantitative methods
    o Vet and verify implementation of models and quantitative methods to ensure intended use.
    o Identify and escalate risks and issues identified, and effectively document the testing and conclusions
    o Follow model risk management policies, programs and procedures and assess emerging risks associated with models
    o Contribute to all aspects of model risk control; identify model issues, design risk's own ongoing performance assessment, provide high quality model validation documentation and model risk reporting
    o Contribute to establishing LSEG model governance framework
    o Manage model validation within the team and track detected issues
    o Train and upskill direct reports in line with career development framework at LSEG

    The successful candidate must have a:

    o PhD or MS degree in Applied Mathematics, Finance, Statistics, Physics, Engineering or similar
    o 5+ years of experience working with advanced econometric, statistical, and/or forecasting tools using ALM, FTP, CCAR, liquidity and other financial risk management models, including extensive understanding of retail lending
    o Strong mathematical background in stochastic calculus, numerical methods, statistical and econometric concepts and their application in risk modelling is essential
    o Good knowledge of banking products, risk processes and controls with good understanding of regulatory requirements and risk management framework - including credit risk models, capital planning, risk capital, risk adjusted performance measures
    o Understanding of regulatory compliance requirements such as IFRS9, SS3/18, IRB, FRTB or EMIR would be desirable.
    o Experience in Predictive Modelling & Forecasting (Multivariate Regression, Logistic Regressions)
    o Strong understanding of Time-Series (SMA, Exponential Smoothing, ARIMA)
    o Strong analytical skills, conceptual thinking and the ability to draw conclusions
    o Coding experience within a professional environment (Python, R, C++)
    o Proficient in Microsoft Office (Word, Excel, and PowerPoint)
    o A natural inclination to challenge established ways of thinking and an ability to articulate your opinion
    o Understand the Fintech space and how models relate to potential client products
    o Exposure to the 2nd Line Risk and Model Validation
    o Leader figure able to inspire and mould the junior team

    Integrity: My word is my bond. Integrity underpins all that we do - from unshakable commitment to building and supporting global markets based on transparency and trust, to every transaction across our business with each and every stakeholder. We are a source of enduring confidence in the financial system, so when we say that our work is our bond - we mean it.
    Partnership: We collaborate to succeed. We pride ourselves on working together as proactive partners, building positive relationships with our colleagues, customers, investors, regulators, governments and shareholders - for our mutual success and the benefit of all.
    Innovation: We nurture new ideas. We are ambitious and forward-looking - a pioneering Group of market innovators, driven by fresh thinking that has kept us ahead of change. We prudently and proactively invest to make sure that out markets and services constantly moving forward, developing and evolving with advances in technology.
    Excellence: We are committed to quality. We have a fundamental commitment to developing talented teams who deliver to the highest standards in all that we do. By collaborating together, we will sustain industry-leading levels of excellence, setting the benchmarks that inspire ever better performance.

    We are looking for intellectually curious people, passionate about the bigger picture of how technology industry is evolving, ready to ask difficult questions and deal with complicated scenarios. If you are creative and a problem solver, this is the place to be as will be supporting you to fast-forward your career.

    We maximize each employee's potential through personal development and through a wide range of learning tools both formal and informal. We believe that remunerating our people with competitive salaries and a range of attractive benefits such as:

    • 25 days' holiday per year
    • Share Purchase Plan
    • Private Medical Insurance
    • Dental Coverage
    • Life insurance
    • Pillar 3 Private Pension Plan
    • Meal Vouchers
    • Flexible Benefits
    • Bookster
    • Volunteering Events
    • Team Buildings

    At LSEG, we believe that creating a diverse and inclusive organisation is fundamental to the way we deliver on our promise of creating essential partnerships and open opportunities. Our open culture is central to how we deliver our purpose - driving financial stability, empowering economies and enabling customers to create sustainable growth - in everything we do.

    Working with us means that you will be part of a dynamic organisation of 25,000 people across 70 countries. However, we will value your individuality and enable you to bring your true self to work so you can help enrich our diverse workforce. You will be part of a collaborative and creative culture where we encourage new ideas and are committed to sustainability across our global business. You will experience the critical role we have in helping to re-engineer the financial ecosystem to support and drive sustainable economic growth. Together, we are aiming to achieve this growth by accelerating the just transition to net zero, enabling growth of the green economy and creating inclusive economic opportunity.

    LSEG offers a range of tailored benefits and support, including healthcare, retirement planning, paid volunteering days and wellbeing initiatives.

    We are proud to be an equal opportunities employer. This means that we do not discriminate on the basis of anyone's race, religion, colour, national origin, gender, sexual orientation, gender identity, gender expression, age, marital status, veteran status, pregnancy or disability, or any other basis protected under applicable law. Conforming with applicable law, we can reasonably accommodate applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.

    Please take a moment to read this privacy notice carefully, as it describes what personal information the London Stock Exchange Group (LSEG) (we) may hold about you, what it's used for, and how it's obtained, your rights and how to contact us as a data subject.

    If you are submitting as a Recruitment Agency Partner, it is essential and your responsibility to ensure that candidates applying to LSEG are aware of this privacy notice.