Role Overview:
As the SVP/Director - Model Validation - Market Risk, you will lead a team responsible for the independent validation of market risk models across the organization. This includes a wide range of models used for pricing, risk measurement, capital calculation, and stress testing.
You will collaborate closely with model developers, risk managers, and front-office personnel to ensure models are fit for purpose and comply with regulatory requirements. Your work will directly impact the accuracy of risk assessments, the efficiency of capital allocation, and the overall stability of the firm.
Key Responsibilities:
- Lead the independent validation of market risk models, including pricing models, VaR models, stress testing models, and counterparty credit risk models, ensuring they are theoretically sound, empirically supported, and implemented correctly.
- Develop and execute comprehensive validation plans, including data analysis, benchmark model development, and sensitivity analysis, to assess model performance and identify potential weaknesses.
- Communicate validation findings and recommendations to model developers, risk managers, and senior management, influencing model improvements and risk management practices.
- Stay abreast of industry best practices, regulatory requirements, and emerging modeling techniques, providing thought leadership and guidance on model risk management.
- Manage and mentor a team of model validation professionals, fostering a culture of intellectual curiosity, critical thinking, and continuous improvement.
Required Skillset:
- Demonstrated expertise in market risk modeling, including a deep understanding of financial instruments, risk measures, and statistical techniques.
- Proven ability to independently validate complex models, identify weaknesses, and recommend improvements.
- Excellent communication and presentation skills, with the ability to effectively convey technical information to both technical and non-technical audiences.
- Strong leadership and management skills, with the ability to motivate and develop a team of model validation professionals.
- Advanced degree (Ph.D. preferred) in a quantitative field such as mathematics, statistics, physics, or finance.
- Ability to work collaboratively with model developers, risk managers, and front-office personnel.
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