Recruitment Sourcing Manager at Allegis
Views:413 Applications:101 Rec. Actions:Recruiter Actions:41
Specialist - Stress Testing/Model Validation - BFS (6-13 yrs)
The role under offer involves validation of models used for price stress testing as a part of wider framework of Model Risk Management. These models are used for valuation of bank wide portfolio under stressed conditions.
This role requires an excellent understanding of pricing of derivative products across multiple asset classes, a sound mathematical background and an intermediate level of coding skills. This role is suitable for those who carry a critical approach towards assessment of model methodology, mathematical soundness of the model and rigorous validation approach towards the pricing models and model enhancements.
Your key responsibilities :
- Actively engage in the on-going review of model performance and applicability as well as the validation and review of model changes
- Independently review and challenge the methodologies used to generate scenarios and revalue positions, in particular in the space of PnL stress testing and Value at Risk (incl. recalibration, shock smoothening methodologies etc)
- Review and challenge the mathematical/theoretical soundness of the model, check independently its implementation, and assess its suitability for the quantity modelled
- Adhere to the testing framework and augment with expert judgment tests to identify model boundary conditions
- Engage with model developers and owners and communicate in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc.