Model Validation
4 weeks ago
This role requires a deep understanding of financial modelling, risk management, and regulatory requirements. The successful candidate will ensure the accuracy, robustness, and compliance of our models, contributing to the overall risk management framework of the company.
Key Responsibilities:
- Lead the validation of VAR models and pricing models, ensuring they meet regulatory standards and internal policies.
- Develop and implement validation methodologies and frameworks to assess model performance and risk.
- Conduct rigorous testing and analysis of models, including back-testing, stress testing, and sensitivity analysis.
- Collaborate with model developers, risk managers, and other stakeholders to address model-related issues and enhancements.
- Prepare and present validation reports to senior management, highlighting key findings and recommendations.
- Stay updated on regulatory changes and industry best practices related to model validation and risk management.
- Mentor and develop junior team members, fostering a culture of continuous improvement and excellence.
Qualifications:
- Advanced degree in Finance, Economics, Mathematics, Statistics, or a related field.
- Extensive experience in model validation, particularly with VAR models and pricing models.
- Strong knowledge of financial markets, risk management principles, and regulatory requirements (e.g., Basel III, FRTB).
- Proficiency in programming languages such as Python or C++.
- Excellent analytical, problem-solving, and communication skills.
- Proven leadership experience with the ability to manage and develop a high-performing team.
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