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Model Risk Analyst

Employer
London Metal Exchange
Location
Cranford, Hounslow, United Kingdom
Salary
Competitive Salary
Closing date
Sep 27, 2020

View more

Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time

Overall Purpose of Role:


To support the delivery and implementation of the new Financial Risk second line team within LME Clear.


Working closely with the VP of Financial Risks within LME Clear to provide appropriate expert second line challenge on the financial risks - market, credit and liquidity - to which LME Clear is exposed and to ensure ongoing challenge, monitoring and reporting of first line activities complies with risk appetite and policy. To undertake validation activities of financial risk models and methodologies used to implement risk policies.


LME Group is the world centre for industrial metals trading and clearing. Most of the world's non-ferrous metals business is conducted on the LME totalling $15.7 trillion, 185 million lots and 4.1 billion tonnes in 2018. The metals community uses the LME, a member of HKEX Group, as a venue to transfer or take on price risk, as a physical market of last resort and as the provider of transparent global reference prices.




Responsibilities:

Validation of the models and methodologies used to manage Financial Risk (Market, Credit and Liquidity) to ensure compliance with regulatory guidelines and industry best practice. Monitor and report on subsequent actions undertaken by the first line risk team.

  • Assist with the development of model performance tests and associated reporting and oversight.
  • Ownership of financial risk policies including annual reviews of compliance and associated oversight of any change and developments to policy consistent with LME Clear Risk appetite statement (RAS).
  • Daily and periodic reporting of activities undertaken by first line to ensure ongoing compliance with policy. This will include reporting to senior management and through the governance structures to CLERIC and the Board Risk Committee. To ensure reporting identifies any issues and monitor appropriate escalation.
  • Ensure regular review of models in accordance with" model risk governance framework", associated testing and regular assessment that model achieves methodology goals and to ensure that the use and categorisation remains appropriate and consistent with Group standards.
  • Test model implementation in production environment and department tools.
  • Oversight and reporting of outstanding action items on the risk department through a combination of self-assessments, Firedrills, internal audits, regulatory thematic reviews and annual validations.
  • Provide challenge and Oversight as a second line function through both the daily interactions and periodic Committees most notably the Clearing Risk Committee (CLERIC) ensuring that changes to, or new, models, new contract analysis, process and procedures also receive additional scrutiny


Person Specification

  • Degree in Engineering, Science, Math's or related subject.
  • Masters or PhD would be a plus.
  • Professional risk qualification (or studying towards) would be beneficial (e.g. CFA, FRM).


Required Knowledge and Level of Experience

  • 3-5 years' experience in a quantitative role at a Financial Services company with a focus on the modelling and risk management of Derivative products.
  • Knowledge of market, credit and liquidity risk models and industry best practice.
  • Experience of working with a "model risk framework" in a financial institution.
  • Ideally, the successful candidate will have experience of working within an Exchange or Clearing House and familiarity with the requirements of EMIR.


Skills set and Core Competencies Required for Role:

  • Data science experience with Python, R and SQL, other languages a plus.
  • Experience with business intelligence tools such as Power BI
  • Confident communicator both verbally and in written form. The successful candidate will need to have strong influence across the organization and will need to communicate complex risk problems to senior management and broader audiences where required.
  • Familiarity and knowledge of regulatory environment, including
  • EMIR - the European Market Infrastructure Regulation
  • European Securities and Markets Authority (ESMA) draft Regulatory technical standards
  • CPSS/IOSCO Recommendations
  • Recognised Clearing Houses (RCH) special rules


Personal Qualities

  • Ability to act as part of a small team and also autonomously upon own initiative as required
  • Ability to influence people and drive decisions
  • Ability to work in a virtual team with Department Heads and other risk professionals
  • Motivated self-starter
  • Commercially aware
  • Ability to communicate effectively at all levels and positively influence others
  • Ability to rapidly grasp new ideas and to think laterally and innovatively
  • Determined and results focused
  • Demonstrates sound and reasoned judgment at all times

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