Huge Required- Head of XVA

Job Description

*About Standard Chartered Were an international bank, nimble enough to act, big enough for impact. For more than 160 years, weve worked to make a positive difference for our clients, communities, and each other. We question the status quo, love a challenge and enjoy finding new opportunities to grow and do better than before. If youre looking for a career with purpose and you want to work for a bank making a difference, we want to hear from you. You can count on us to celebrate your unique talents. And we cant wait to see the talents you can bring us. Our purpose, to drive commerce and prosperity through our unique diversity, together with our brand promise, to be here for good are achieved by how we each live our valued behaviours. When you work with us, youll see how we value difference and advocate inclusion. Together we:
• Do the right thing and are assertive, challenge one another, and live with integrity, while putting the client at the heart of what we do
• Never settle, continuously striving to improve and innovate, keeping things simple and learning from doing well, and not so well
• Be better together, we can be ourselves, be inclusive, see more good in others, and work collectively to build for the long term
Head of XVA, Counterparty Credit Risk Model (CCR) and Initial Margin Models (IMM) Validation is responsible for the validations and governance of model risk relating to all XVA, Counterparty Credit Risk Model and Initial Margin Models that are in scope of the model risk policy. The role holder is required to actively engage with model developers, sponsors and owners, and other stakeholders in the model lifecycle to ensure that the management and control framework for internal model validation are followed in line with the bank s strategy and aspirations. The validation function is part of the second line of defence. The role executes and provides leadership to a team of quantitative specialists responsible for the validation of models across XVA, CCR and IMM. Expertise
• At least 15 years of experience in model development and/or validation. Proven ability to develop models or benchmarks within either a development or validation setting would be preferred.
• The appointment is for a senior Director Level role, and therefore greater than 3 years at Director level is preferable.
• Expert knowledge of theory and practice in Risk & Pricing Models. Familiarity with prevailing pricing methodologies for products across all asset classes. XVA, CCR is experience is preferred but knowledge other risk models (VaR) and pricing model also considered
• PhD in highly numerical subject such as mathematics, physics, engineering, or mathematical finance. Masters with highly quantitative experience also considered.
• Deep knowledge of financial markets.
• Experience with managing a mid-sized team of quants and building partnership with business stakeholders.
• Excellent communication skills and the ability to explain technical topics clearly and intuitively, both written and orally to internal and external stakeholders.
• Experience of direct interaction with regulators in an internally modelling context, e.g. IMM/IMA.
• A sound knowledge of relevant regulations and of the broader regulatory landscape.
• Significant practical experience of coding, ideally including C++ but other languages would be considered.
• Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders.
• Strong writing skills with ability to present conclusions and recommendations from technical projects to a less technical audience
Strategy:
• Perform as a best in class model validation function with the skills and expertise to deal with and effectively challenge technical areas across a range of business lines and products.
• Contribute to Group s Model Risk Management Framework, Model Risk Policy, Model Risk Standards and Model Family Standards across XVA, CCR and IMM.
• Provide effective Second Line oversight and challenge to Model Validation activities across XVA, CCR and IMM and provide confidence to the relevant Senior Stakeholders and Senior Manager Functions.
• Spot opportunities to improve synergies and efficacies in the validation process of XVA, CCR and SIMM.
• Lead and oversee the end-to-end XVA, CCR and IMM validation process including, technical assessment of adequacy of the modelling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the functional assessment of using the model for regulatory and business applications through performing validation tests, discussing findings with internal and external stakeholders.
• Provide effective challenge to model developers and identify model risks, including the issues with conceptual soundness, alignment with regulatory requirements/expectations.
• Assess the appropriateness of remediation actions proposed and undertake additional analysis & testing as necessary to size the impacts and ensure the risks are mitigated.
• Contribute to continuous improvements to the model risk framework across the model lifecycle (both operational process effectives and functional aspects) including model validation, performance evaluation and ongoing monitoring.
• Provide thought leadership in technical matters.
Business
• Work with relevant Business, Product and Function Heads or their delegates to embed the Model Risk Management framework into their respective First-Line or Second-Line activities and ensure compliance to the Group Model Risk Policy.
• Advise work streams / business teams on areas for improvement in relation to model risk and validation, enhance the quality and credibility of internal and external/regulatory submissions and ensure awareness of identified models risks with relevant Business, Product or Function Heads.
• Business liaison to help identify and understand the evolution of risks including escalation, raising and closing of actions where appropriate. This entails interacting with the workstreams to understand the key risk drivers on the business portfolio.
Processes
• Continuously improve the operational efficiency and effectiveness of the team s processes.
• Ensure effective management of the operational risks within XVA, CRR and IMM and compliance with applicable internal policies, and external laws and regulations.
• Provide the team with direction to meet key objectives, provide guidance where issues require additional expert advice and manage the teams working environment.
• Identify and escalate significant issues to ensure a no surprises culture and ensure that these issues are appropriately tracked to remediation.
• Lead and continuously improve the model validation activity, ensuring compliance with the Group s policies, standards, existing and emerging regulatory requirements.
• Ensure robustness of your team s validation outcomes.
• Monitor model risk validation activity and assurance including prudential compliance activity to ensure effective model validation.
Risk Management and Governance
• Ensure that the models are fit for their intended use cases and that key risks are identified and communicated to stakeholders.
• Ensure communication to senior committees to ensure awareness and transparency of existing and emerging model risks.
• Awareness and understanding of, the regulatory framework in which the Group operates, existing and emerging regulatory requirements, and the expectations relevant to the role. Relevant regulations include but are not limited to; Capital Requirements Regulations and related EBA Regulatory Technical Standards and Guidance, PRA Supervisory Statement SS12/13, and FRB Supervisory Regulation 11/7 on Model Risk Management.
• Maintain an open and cooperative relationship in dealings with regulators.
,

Keyskills :
keeping things simplerisk management frameworkuse casesrole modelcredit riskrisk modelshuman skillsmusic makinglife insurancewriting skills