Model Risk Manager (Contractor)
- Salary: Negotiable
- Location: London, England, United Kingdom
- Job Type: Full time
- Company: Fidelity International
Your role will be to support the implementation of a model risk framework, model inventory and prioritization approach, governance and standards across the organization. You'll also commence validation of high risk models. In doing this you'll actively engage and manage relationships with various stakeholders.
The risk team in Fidelity covers the management oversight of Fidelity's risk profile including key risk frameworks, policies and procedures and oversight and challenge processes. The team partner with the businesses to ensure Fidelity manages its risk profile within defined risk appetite.
The team is circa 50-strong, and growing, covering all facets of risk management including investment, operational, enterprise, and technology risk.
Enterprise Risk Management (ERM) Function:
The ERM function is lead from Fidelity's head office in Bermuda and the primary purpose of ERM is to ensure that the business is managing risk within its agreed risk appetite, and in accordance with the associated ERM Framework. The ERM function is also responsible for capital management, key risk regulatory reporting and the ERM framework. It also acts as the oversight function for model risk. The team is currently 10 strong and is being invested in further to strengthen capital management, reporting and model risk capabilities specifically.
Purpose of your role
Your role will lead the independent validation of some of the most material models used within Fidelity; you will undertake theoretical analysis and review of asset valuation, pricing, market risk, stress testing and investment models across asset classes as a main activity but you may be asked to review other types of models as required by the business. You will need to understand and assess the appropriateness of the conceptual framework, the mathematical formulation, the data used in calibration and testing and the implementation environment of the models. You will also need to support the development and the embedding of the model risk framework, providing quality assurance on the Model Inventory data and supporting the definition of adequate model governance and model-type specific development/validation standards. In addition, you'll provide qualitative SME analysis of pricing models used for pricing and/or risk calculations. Naturally, you'll actively engage and manage relationships with various stakeholders.
- To define requirements for model development and model validation policies in line with policy and best practice;
- To help build out a complete model inventory and a model risk assessment approach so as to support a risk-based model validation plan;
- To review and validate material models so as to establish their accuracy and suitability for changing business climate as well as their compliance with policy, standards and regulatory requirements;
- To write a report summarising your validation findings and take it though governance;
- To provide expert support and guidance to all stakeholders on model development and validation activities, to help ensure the global model risk operating model is consistently adopted in processes and procedures, and to help model owners, users and developers understand minimum standards (e.g. documentation templates) and model weaknesses.
- Establish and maintain highly effective working relationships with all key internal stakeholders
Experience and Qualifications Required
- Hands on experience building, enhancing and running model validation processes is essential;
- Solid understanding of investment, pricing, risk & capital models with specific SME expertise in pricing models (preferably both equities and fixed income models)
- Extensive experience in quantitative risk related roles in the financial sector - investment banking or asset management is preferable.
- Ability to demonstrate project delivery across model validation and model documentation will be highly advantageous.
- Hands-on mentality
- Excellent at providing innovative ideas and comfortable working under pressure
- Strong MS Excel & expertise with VBA, model library programming (C++, Java, Python, MatLab &/or other).
- Dedicated to maintaining high quality standards and client satisfaction
- University degree in Quantitative/Finance/Mathematical subject or similar
- At least 5 years post-qualification experience