Vice President - Counterparty Credit Risk Model Validation - Investment banking

Description:

Lead Independent Validation:

- Manage end-to-end validation of CCR models, including Monte Carlo exposure simulation engines, netting and collateral models, CVA/XVA pricing engines.

- Challenge modelling assumptions, mathematical frameworks, calibration, and stress testing approaches.

- Review model documentation, coding standards, and implementation testing (including independent replication or benchmarking as needed).

Stakeholder Engagement:

- Communicate validation findings to model owners, governance committees, and senior management.

- Influence model risk policy and contribute to model governance frameworks.

Documentation and Governance:

- Deliver high-quality model validation reports and executive summaries aligned with internal policy and regulatory guidance (e.g., Basel III, CRD IV, PRA SS 1/23).

- Ensure models are appropriately categorized and inventoried within the bank's Model Risk Management framework.

Mentorship and Oversight:

- Provide technical guidance to junior validators and support their development.

- Lead peer reviews and contribute to continuous improvement of validation standards.

Ongoing Monitoring and Risk Review:

- Periodic review of model performance and validation of model changes.

- Contribute to risk committees and raise controls on model limitations and assumptions.

- Basic understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and comfort level with one / more programming languages is expected

Expertise in at least one of the following areas:

- Risk Models: Counterparty Risk Exposure models

- Credit Models: CVA calculation

- A strong graduate/ post graduate degree in Engineering, Mathematics, Computer Science, Economics or other quantitative area

- Proven work experience conducting quantitative analysis using programming (proficiency in Python, R, or VBA is required).

- Strong written communication and reporting skills in English, as you will collaborate with overseas stakeholders

- A proactive and collaborative attitude for working with stakeholders in various positions, demonstrating integrity and resilience while actively contributing to consensus building and the advancement of projects.