London Area, United Kingdom
Experienced risk professional within the areas of market risk capital models, benchmarking Fundamental Review of the Trading Book (FRTB); Risk Free Rate (RFR) reform; stress testing; Model Risk Management (MRM); and the quantification of Pillar 2A capital (ICAAP). My areas of responsibilities include: ▪ Identification of strengths and weaknesses of the capital models of PRA-regulated firms specialising in the regulatory requirements for internal model approach (IMA) permission. ▪ Leadership of review for new IMA applications; reviewing material model changes and extensions; and cross-firm thematic analysis including on-site visits to regulated firms and desk based document reviews. ▪ Formulating and presenting results internally within the PRA and externally to senior members of the firm. ▪ Ownership of the market risk RWA risk stripe under the BoE’s Concurrent Stress Testing. ▪ Being a subject matter expert on LIBOR reform and its impact on IMA models (this includes reviewing RFR-related model changes for a number of firms) ▪ Being a SME on the the upcoming FRTB regulations and the benchmarking of IMA models. ▪ Delivery of risk reviews in various directorates of the BoE including the review of the default fund methodology for a large central counterparty as well as a review of the Bank’s internal risk measurement models.
I provide expert support and guidance to the SFC on market and counterparty credit risk modelling (including policy development work). My responsibilities included: ▪ Leading reviews of market risk models and model risk management practices for a number of mainland Chinese and international banks, broker-dealers and hedge funds. ▪ Leading numerous on-site meetings with the firm SMEs, reviewing firms’ responses and producing high quality internal reports and presentations. ▪ Reviewing IMA models of SFC-regulated firms and providing feedback.
Responsible for the development, maintenance and enhancement of LBG’s market risk internal capital models and the representation and defence of the model methodologies to regulators, internal heads of departments, the risk model approval team and at senior risk management and governance committees.