Model Validation - VP/Director
- Employer
- Financial Services
- Location
- London, United Kingdom
- Salary
- Negotiable
- Closing date
- Sep 28, 2022
View more
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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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
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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