Senior model validation contractor
- Employer
- Eximius Finance
- Location
- London, United Kingdom
- Salary
- 800 - 900 per day
- Closing date
- May 18, 2022
View more
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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- Independently validate, test, and challenge pricing and risk models (across asset classes), including stress testing models used for capital, stress loss or RWA projections (ICAAP and RRP)
- Produce written model validation reports using Firm's approved tools and templates
- Engage with reviewers in other locations, model developers and owners and communicate the validation outcomes with the relevant stakeholders
- Adhere to the Firm's global standards for model validation and review and actively participate in the model risk management processes
The successful candidate:
- Experience in validating pricing and risk models (across asset classes) including assessing conceptual soundness, testing and writing the validation reports
- Good understanding of stress testing methodologies as well as UK and EU regulatory requirements (ICAAP, PRA, EBA)
- Familiarity with Python, R or MATLAB
- Produce written model validation reports using Firm's approved tools and templates
- Engage with reviewers in other locations, model developers and owners and communicate the validation outcomes with the relevant stakeholders
- Adhere to the Firm's global standards for model validation and review and actively participate in the model risk management processes
The successful candidate:
- Experience in validating pricing and risk models (across asset classes) including assessing conceptual soundness, testing and writing the validation reports
- Good understanding of stress testing methodologies as well as UK and EU regulatory requirements (ICAAP, PRA, EBA)
- Familiarity with Python, R or MATLAB
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