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)