Model Validation - VP/Director

Recruiter
Financial Services
Location
London, United Kingdom
Salary
Negotiable
Posted
21 Sep 2022
Closes
28 Sep 2022
Ref
16516558
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Financial Services - Investment Bank

Description

Perform independent validation and approval of models, including raising and managing model validation findings

Conduct annual review and re-validation of existing models

Provide effective challenge to model assumptions, mathematical formulation, and implementation

The focus of this position is on VaR and CCR modelling for securitized products, FI, FX, equity, and credit products

Contribute to strategic, cross-functional initiatives within the model risk team

Oversee ongoing model performance monitoring including bench marking, process verification and outcome analysis performed by model developers

Profile

MSc or PhD degree in a quantitative field (physics, mathematics, computer science, financial engineering)

Experience of risk model validation and/or development

Understanding of all aspects of a VaR computation framework and Counterparty Credit Risk modelling

Broad product knowledge preferred across both equities and fixed income

Excellent analytical skills and advanced technology skills (C++ / Python)

Job Offer

Competitive base salary and benefits

VP / Director level opportunity

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