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Model Validator, IR Valuation Models

4 months ago

London, Greater London, United Kingdom Standard Chartered Full time

Responsibilities

Traded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes. This opportunity is for a validator to perform independent model validations of valuation models used for the books and records of the Group, for official risk reporting and for use in stress testing. This role will focus on the validation of interest rates derivatives valuation models, assessing the associated model risk, building benchmark models, and conducting testing and developing standardised model testing frameworks. The role is expected to have mentoring roles across the London and Poland based teams.

Strategy

The role sits with the valuation models validation team which encompasses, interest rates (IR), FX, credit, commodities, and equity. The role is expected to conduct validations primarily within the IR asset class. The role requires collaborative working both across the local team in Germany or the UK and other validators in Poland and Singapore.

Business

  • Work with stakeholders across business to ensure that IR valuation models are properly reviewed and validated.
  • Liaise with key stakeholders, including trading, front office quantitative analysts and developers, market risk management, and valuation control throughout the model risk model lifecycle.
  • Contribute to the implementation of independent benchmark/alternative models and development of standardized testing suites to enable exploration and quantification of model risk.
  • Delivery of validations of a high quality and according to agreed timelines.

Processes

  • Traded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes.
  • This role is to perform model validations, build benchmark models and conduct testing and develop standardised model testing frameworks.

Risk Management

  • Performed model validations performed in the IR valuation model space in the context of both internal and external (vendor) models to ensure they are fit for their intended use cases and that key risks are identified and communicated to stakeholders.
  • Ensure sound judgement in the assessment of the strengths and weaknesses of modelling approaches.
  • Raised model issues when identified model limitations are not adequately mitigated, and assessed the proposed mitigation plans when they are submitted.

Governance

  • Actively participate in the governance processes that oversee the performance of the valuation models.
  • Ensure compliance with the Group Model Risk Policy and Standards, as well as with the FM Model Family standards.
  • Ensure compliance with any Operational Risk controls processes that relate to validation activities.
  • Awareness and understanding of the regulatory framework in which the Group operates, existing and emerging regulatory requirements, and the expectations relevant to the role.

Regulatory & Business Conduct

  • Display exemplary conduct and live by the Group's Values and Code of Conduct.
  • Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
  • Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
  • Perform as a role model for the bank's conduct agenda.

Key Stakeholders

  • Head of Rates and FX Analytics
  • Head of Structured Rates Trading
  • Head of G10 Rates Trading
  • TRM Head, Mkt Risk, Macro Trading & Stress Testing
  • Head Valuation Models & Analytics

Role Specific Technical Competencies

  • Enterprise Risk Management Framework, Policies and Standards -

Advanced

  • Financial Products and Markets - Expert
  • Governance, Regulation and Risk Management - Risk and Control - Expert
  • Business Ethics -

Advanced

  • Sound judgement in assessing the strength and weaknesses of modelling approaches - Advanced
  • Risk Management - Advanced
  • Regulatory Environment - Financial Services -

Entry

  • Interest rates modelling -

Advanced

  • Managing Change -

Advanced

  • Internal Controls -

Advanced

  • Strong writing skills with an ability to consistently produce precise, accurate and concise documentation - Core

Our Ideal Candidate

  • PhDs in highly numerical subject such as mathematics, physics, engineering or mathematical finance is expected. Other equivalent highly numerical qualifications/experience which demonstrate a high level of independent technical critique may be exceptionally considered but PhD is preferred.
  • Experience in either a model validation or model development role covering pricing, or risk modelling for derivatives. Candidates with other similar technical experience will be considered.
  • Demonstrable knowledge and ability to apply mathematical techniques in modelling problems ideally including stochastic calculus.
  • Knowledge and some practical experience of coding, ideally including C but other languages would be considered.
  • Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders. Fluency in written and spoken English.
  • Strong writing skills with ability to present conclusions and recommendations from technical projects to a less technical audience.

About Standard Chartered

We're an international bank, nimble enough to act, big enough for impact. For more than 160 years, we've worked to make a positive difference for our clients, communities, and each other. We question the status quo, love a challenge and enjoy finding new opportunities to grow and do better than before. If you're looking for a career with purpose and you want to work for a bank making a difference, we want to hear from you. You can count on us to celebrate your unique talents. And we can't wait to see the talents you can bring us.

Our purpose, to drive commerce and prosperity through our unique diversity, together with our brand promise, to be here for good are achieved by how we each live our valued behaviours. When you work with us, you'll see how we value difference and advocate inclusion. Together we:

  • Do the right thing and are assertive, challenge one another, and live with integrity, while putting the client at the heart of what we do
  • Never settle, continuously striving to improve and innovate, keeping things simple and learning from doing well, and not so well
  • Be better together, we can be ourselves, be inclusive, see more good in others, and work collectively to build for the long term
  • In line with our Fair Pay Charter, we offer a competitive salary and benefits to support your mental, physical, financial and social wellbeing.
  • Core bank funding for retirement savings, medical and life insurance, with flexible and voluntary benefits available in some locations
  • Time-off including annual, parental/maternity (20 weeks), sabbatical (12 weeks maximum) and volunteering leave (3 days), along with with minimum global standards for annual and public holiday, which is combined to 30 days minimum
  • Flexible working options based around home and office locations, with flexible working patterns
  • Proactive wellbeing support through Unmind, a market-leading digital wellbeing platform, development courses for resilience and other human skills, global Employee Assistance Programme, sick leave, mental health first-aiders and all sorts of self-help toolkits
  • A continuous learning culture to support your growth, with opportunities to reskill and upskill and access to physical, virtual and digital learning
  • Being part of an inclusive and values driven organisation, one that embraces and celebrates our unique diversity, across our teams, business functions and geographies - everyone feels respected and can realise their full potential.
  • Recruitment assessments - some of our roles use assessments to help us understand how suitable you are for the role you've applied to. If you are invited to take an assessment, this is great news. It means your application has progressed to an important stage of our recruitment process.

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