Model Validation Role - EMEA/America

Description:

Purpose of the role:

Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.

Roles and Responsibilities:

• Initial and periodic validation of quant models
• Designing, modelling and prototyping challenger models
• Quantitative analysis and review of model frameworks, assumptions, data, and results
• Testing models numerical implementations and reviewing documentations
• Checking the adherence to governance requirements
• Documentation of findings in validation reports, including raising recommendations for model improvements
• Ensuring models are validated in line with regulatory requirements and industry best practice.
• Tracking remediation of validation recommendations

Job Requirements:

Experience:

Essential:

• At least a first relevant experience in quantitative modelling (model development or validation) in one or more of these topics:

• o Market risk models
• o Counterparty credit risk models
• o Derivatives pricing models
• o Corporate credit risk models (IRB, PD/LGD/EAD)

Optional:

o Capital models (Economic/Regulatory)