ROLE
Independent model validation of derivative pricing methodologies, both initial and periodic, across all asset classes and model types 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.
KEY RESPONSIBILITIES
- Initial and periodic validation of pricing 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
SKILLS AND EXPERIENCE
Experience :
Essential:
- At least a first relevant experience in quantitative modelling (model development or validation) of pricing models
