OVERALL SUMMARY

At Close Brothers we look to recruit individuals from all different backgrounds and encourage you to apply even if you don’t tick every box. We celebrate diversity, promote inclusivity and are open to discuss flexible work options to help you balance your work and home life.
Join Close Brothers Central Risk Team as a Model Validation Senior Analyst where you will support and execute delivery of the Model Risk validation objectives within the Model Risk management team.
Our ideal candidate will have Hands-on experience in technical model development and implementation, model validation, and/or model oversight in one or more of the following areas: credit risk (retail and/or wholesale), PD/LGD/EAD estimations, IFRS9, operational risk, asset & liability management, stress testing, sensitivities, time series modelling.

IT IS NOT ESSENTIAL BUT IT WOULD BE GREAT IF YOU HAVE:

• Some Industry certifications but is not essential (e.g. FRM, CFA, SAS).
  We are an inclusive organisation and committed to ensuring our recruitment process is as accessible as possible to everyone. We will make adjustments for people who have a disability or long-term condition. If you need the job description or application form in an alternative format or would like to discuss the recruitment process with us, please email us at recruit.ssc@closebrothers.com or request a call back.

ABOUT US

At Close Brothers we support employees to balance their work life priorities and in this role you will be able to enjoy a mixture of hybrid working.
Close Brothers is a leading UK merchant banking group providing lending, deposit taking and securities trading. We employ approximately 3,000 people, principally in the United Kingdom and Ireland. Close Brothers Group plc is listed on the London Stock Exchange and is a constituent of the FTSE 250.
To find out more about Close Brothers, please visit our careers page: https://www.closebrothers.com/careers

• To support the implementation of the Group’s target state operating model for a second line Model Validation function.
• Ensure that models are fit for purpose in accordance with CBG’s strategy and aims.

Perform independent reviews of existing and new models, including but not limited to capital, IFRS9 and pricing models:

• Understand model purpose, the underlying mathematical model, its implementation and its deficiencies. Understand the model behaviour under stress such as applied in capital calculations.
• Undertake rigorous testing to assess comprehensiveness of risk representation, suitability for intended use, robustness and stability of calibrations, ongoing performance vis-à-vis risk factor and portfolio back testing, and reasonableness of simulations vis-à-vis other distributional tests.
• Apply quantitative and qualitative techniques to model validation, this can include independent implementation of the model.
• Propose solutions to model deficiencies.
• Structure the current state of validation, assurance and approval status of models.
• Aid new modelling by providing coding reviews and proposing model improvements.
• Research statistical techniques to estimate model parameters, including volatilities of risk factors and their correlations, and to validate use of appropriate proxies and fall-back parameters
• Benchmark particular model components such as parameter estimation methods or pricing models to justify against alternative approaches
• Document models, methodologies, analyses, and findings to the Group’s standard
• Identify key areas for business assistance and implementation of the Group models
• Review and provide guidance on existing and to-be developed model documentation
• Keep up-to-date on regulatory changes, quantitative techniques, and industry practices
• Ensure that all Governance and Compliance requirements are adhered to and all reporting and reviewing activities required by the Regulatory Bodies are carried out to the standards required
• Behave at all times in line with Close Brothers ‘Vision and Values’