Vice President - Model Validation - BFS

Roles:

The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for particular asset classes / product groups.

Performing in depth model reviews

Preparation of model review documentation and Model Risk Analysis

Assistance to the Quantitative Risk Management team on ad- hoc projects

Review models (pricing models and / or risk models): Ensure that the model meets its stated objective.

This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.

The current role will specifically look into following areas

Approval of credit derivatives, credit hybrids and CVA models

Approval of variable annuity pricing models (IR FX hybrid derivatives with insurance risk)

Re-approvals and continuous model performance monitoring of CVA, Credit and variable annuity models

Trade approvals for credit hybrids, based on credit specific considerations (e.g. rate credit correlations)