Model Validator

1 week ago


London, United Kingdom Taylor Root Full time

**The role of model validator**

As a model validator you focus on and further learn about the topics related to the models in your scope, using econometrics, quantitative finance, coding, business knowledge and related regulations. You perform in-depth analyses and write code to performquantitative assessments. You summarize your analyses and conclusions in clear, fact-based and persuasively written reports, which are presented to the relevant Model Approval Committee. You share your knowledge and effectively communicate with team membersand a wide range of internal and external stakeholders. You also have the opportunity to participate in the development of innovative, state-of the-art validation frameworks and coding libraries.

**Your main daily activities consist of the following**:

- Assessing the fundamental assumptions underlying the models in scope, whether the models are correctly implemented in the systems, and their appropriateness given the business and (evolving) regulatory context.
- Writing high quality validation reports, to be discussed with e.g. model developers, senior management, auditors, the ECB and other regulators. These reports include a description of the methodology, your model risk assessment of the various model validationdimensions, as well as a number of findings for model improvement (which require follow-up by the developers).
- Preparing ad-hoc analyses for e.g. senior management and providing advice on model risk.
- Participating in the development of our new validation coding libraries.
- Participating in the expansion and promotion of our new validation frameworks. These include policies, validation minimum standards and working instructions that aim to professionalize the model risk assessment based on the key model validation dimensions.

Your prospective model scope is broad and are related to the following main areas:

- **Behavioral**: Modelling of mortgage & other loan prepayments and non-maturity deposits, as well as other embedded options in retail and wholesale products.
- **Interest rate**: Market models (e.g. Hull-White model).
- **Valuation**: Models used for calculating the economic value of a loan or deposit portfolio with embedded options.
- **Pricing**: Models used for product pricing.
- **Replication**: Models used for risk transfer.
- **Risk measurement**: Models used for risk management and reporting (NPVaR, RRaR, NIIaR).

**Who are we looking for** We are looking for enthusiastic colleagues who enjoy performing quantitative analyses, writing & defending high quality validation reports, and have an intrinsic curiosity to continuously expand their knowledge. In particular, as a member of our team, youhave:

- A quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statistics, Physics etc. with a minimum of 4-5 years of relevant experience.
- Depending on seniority level, a curiosity about/are proficient in IRRBB/ALM modelling.
- Solid programming experience (preferably in Python and/or R).
- Strong verbal communication skills. You enjoy sharing and presenting your work to colleagues, senior management, auditors, the ECB and other regulators, and are able to defend your stand point in plain language.
- Good English writing skills, you are accurate and skilled at drafting reports.

Above all, you have a genuine passion to continuously improve yourself and our team. As a model validator, you will be empowered to have a true impact on the companies future model landscape. Moreover, you will contribute to further implementing the client'sinnovative Think Forward strategy.

**What we offer** They offer you a 40 (or 36) hour contract. We care about an adequate work-life balance and we empower our colleagues to realize their ambitions: "Do your thing." Our employment conditions are specified here. In particular, we offer:

- A flexible work environment, with the possibility of working from home.
- Time and support for personal development, including courses.
- A challenging, interesting and evolving job/career.
- An informal and positive working environment with highly qualified colleagues, who like to improve, value diversity and support each other.
- An innovative, expanding working environment, also internationally, creating ample opportunities for further development.
- A progressive way of working according to the Agile method, so that new ideas come to life incrementally.
- A competitive salary tailored to your skills, competences, experience and performance.
- A choice in transportation allowances.
- 27 vacation days with a 40-hour contract (or 24 based on 36h), as well 1.5 days of "diversity days".
- A good pension scheme.
- A 13th-month salary.
- Individual Savings Contribution (BIS) (i.e., 3.5% of your gross annual salary.
- 8% Holiday payment.

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