ROLE:
Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) 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 quant 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
- Preparation of model risk reporting for Model Oversight Committee and Board
Skills and Experience :
Essential:
- Extensive experience in quantitative modelling (model development or validation) in one or more of these topics:
- Market risk models
- Counterparty credit risk models
- Derivatives pricing models
