Counterparty Credit Risk (CCR) Quantitative Audit Specialist
Posted 1 day ago by Robert Half
Negotiable
Undetermined
Undetermined
London Area, United Kingdom
Summary: The Counterparty Credit Risk (CCR) Quantitative Audit Specialist role in London focuses on validating and reviewing CCR/IMM models within a banking or regulatory context. The candidate will support regulatory audits and validation work, requiring expertise in model risk and quantitative analysis. Responsibilities include conducting model validation, performing CCAR shock analysis, and producing technical documentation for stakeholders. The ideal candidate should possess a strong quantitative background and experience in model validation and audit processes.
Key Responsibilities:
- Conduct in-depth validation and review of CCR/IMM model components including interest rate simulation, calibration methods, credit spread simulation, and stochastic volatility models.
- Perform CCAR shock analysis to assess IMM model resilience and identify points of model breakdown under stress.
- Review and enhance IMM model backtesting methodologies, including risk factor backtesting and monitoring portfolio backtesting processes.
- Evaluate and document the treatment of Risks Not in IMM (RNII) within the overall CCR framework.
- Support closure of regulatory audit points, conducting comprehensive reviews of model assumptions and limitations for consistency and compliance.
- Validate complex derivatives pricing models and funding approaches.
- Assess and document methodologies for Prudential Valuation and Equity VaR relevant for PRA model permission processes.
- Produce independent, high-quality technical documentation and audit reports for senior stakeholders and regulators.
- Liaise with model owners, risk managers, and internal/external auditors to communicate findings and track remediation actions.
Key Skills:
- Advanced degree in a quantitative discipline (e.g., Mathematics, Physics, Quantitative Finance, Engineering).
- Proven experience in model validation, quantitative audit, model risk management, or internal audit for CCR/IMM.
- Practical audit/review experience in validation/review of model components, backtesting, and model calibrations.
- Strong understanding of EBA/CRR, Basel III/IV, and PRA regulatory requirements for CCR/IMA.
- Familiarity with model risk controls and governance, including documentation and closure of audit issues.
- Coding skills in Python, C++, or similar for model analysis and validation.
- Excellent communication skills, with a track record of presenting technical findings to stakeholders.
Salary (Rate): undetermined
City: London
Country: United Kingdom
Working Arrangements: undetermined
IR35 Status: undetermined
Seniority Level: undetermined
Industry: Other
Counterparty Credit Risk (CCR) Quantitative Audit Specialist
Location: London
Start Date: Mid-May
Must have the right to work in the UK.
Overview: We are seeking a Counterparty Credit Risk (CCR) Quantitative Audit Specialist with a strong blend of CCR modelling, model risk, and audit/validation review expertise. The ideal candidate has practical experience in reviewing, testing, and independently challenging CCR/IMM models within a banking or regulatory context, and is ready to step into a role supporting regulatory-mandated audits and validation work.
Key Responsibilities:
- Conduct in-depth validation and review of CCR/IMM model components including but not limited to:
- Interest rate simulation (e.g., Cheyette, BGM)
- Basin-hopping and other calibration methods
- Credit spread simulation and calibration techniques
- Stochastic volatility models and curve construction.
- Perform CCAR shock analysis to assess IMM model resilience and identify points of model breakdown under stress.
- Review and enhance IMM model backtesting methodologies, including risk factor backtesting, representative portfolio backtesting, and monitoring portfolio backtesting processes.
- Evaluate and document the treatment of Risks Not in IMM (RNII) within the overall CCR framework.
- Support closure of regulatory audit points (such as MRAs), conducting comprehensive reviews of model assumptions and limitations for consistency and compliance.
- Validate complex derivatives pricing models and funding approaches (e.g., DVA funding curve integration).
- Assess and document methodologies for Prudential Valuation and Equity VaR as relevant for PRA model permission processes.
- Produce independent, high-quality technical documentation and audit reports for senior stakeholders and regulators.
- Liaise with model owners, risk managers, and internal/external auditors to communicate findings, challenge processes, and track remediation actions.
Required Skills & Experience:
- Advanced degree in a quantitative discipline (e.g., Mathematics, Physics, Quantitative Finance, Engineering).
- Proven experience in model validation, quantitative audit, model risk management, or internal audit for CCR/IMM.
- Practical audit/review experience as demonstrated by activities such as those outlined above (validation/review of model components, backtesting, MRAs, model calibrations, etc.).
- Strong understanding of EBA/CRR, Basel III/IV, and PRA regulatory requirements for CCR/IMA.
- Familiarity with model risk controls and governance, including documentation and closure of audit issues.
- Coding skills in Python, C++, or similar for model analysis and validation.
- Excellent communication skills, with a track record of presenting technical findings to risk, audit and regulatory stakeholders.
- Ready to start by Mid-May and eligible to work in the UK.
Preferred:
- Experience responding to audit or regulatory findings (e.g., MRAs, MRIA).
- Recent hands-on validation or practical audit covering relevant topics (interest rate simulation, RNII review, CVA/XVA frameworks, etc.).
- Professional certifications: FRM, CQF, PRM, or equivalent.