Model Validation Specialist
3 weeks ago
Job Overview
ICE Clear Europe stands at the forefront of financial services, delivering essential clearing and settlement solutions across a diverse array of financial instruments. Our dedication lies in upholding the stability and integrity of financial markets through effective risk management strategies.
We employ sophisticated quantitative models to address the market risk associated with exchange-traded derivatives, evaluate the credit risk of our clearing members, and manage the liquidity risk of collateral provided by these members.
The Quantitative Risk Assessment Manager plays a pivotal role in supervising the validation, risk oversight, and ongoing evaluation of the models utilized within the clearing house. This position is crucial in ensuring that all models are precise, dependable, and adhere to regulatory requirements.
The ideal candidate will possess a robust foundation in quantitative finance, risk oversight, and model validation. This role presents an exciting opportunity for a technical expert seeking a broader scope within a compact team in a flat organizational structure.
Key Responsibilities
Model Validation and Risk Evaluation
- Execute independent validation of risk models, option pricing frameworks, and other quantitative methodologies employed by the clearing house.
- Create benchmark models to verify model outputs and conduct stress tests to assess model resilience.
- Evaluate model efficacy, pinpoint potential vulnerabilities, and propose enhancements.
Documentation and Reporting
- Compile validation reports that outline methodologies, findings, and recommendations.
- Ensure comprehensive documentation of model validation procedures.
- Communicate findings to model owners and senior leadership.
Continuous Monitoring
- Generate reports and dashboards for the ongoing assessment of model performance.
- Review monitoring strategies and outcomes from first-line risk management teams to identify trends and emerging threats.
- Develop and sustain an analytics library to support validation and continuous monitoring efforts.
Collaboration with Stakeholders
- Engage closely with model developers, first-line risk management teams, and IT departments to comprehend model architecture.
- Offer guidance and training to stakeholders and junior team members regarding model risk management protocols.
- Work alongside model owners to track and address outstanding issues.
Skills and Experience
Essential Qualifications
- A degree in Mathematics, Statistics, Quantitative Finance, Financial Engineering, or a related discipline.
- Experience in model validation, development, model risk management, or quantitative analysis within the financial services sector.
- In-depth knowledge of financial instruments and quantitative risk management principles encompassing market risk, credit risk, and/or liquidity risk.
- Proficiency in statistical risk modeling techniques (e.g., Historical Value-at-Risk, Backtesting, and Stress Testing) along with expertise in stochastic calculus and option pricing theory (e.g., Black-Scholes).
- Strong programming capabilities in Python, including familiarity with scientific libraries (NumPy, Pandas, Polars, etc.) and SQL for handling extensive datasets.
- Exceptional analytical skills, with a profound understanding of mathematical/statistical models and their application in finance.
- A collaborative mindset with the ability to effectively challenge first-line functions.
- Outstanding verbal and written communication skills, particularly in translating complex technical concepts into clear reports and presentations.
Desirable Qualifications
- Advanced degree (MSc or PhD) and/or certifications such as PRM, FRM, or CFA.
- Prior experience in a similar capacity at a Central Counterparty or Clearing House.
- Awareness of regulatory standards related to model risk (e.g., SR 11-7, Basel II/III).
- Familiarity with exchange-traded derivatives across asset classes including Energy and Environmentals, Soft Commodities, Equities, Interest Rates, and Bonds.
- Experience in developing and utilizing dashboards and reporting tools like Tableau.
Work Schedule
This position allows for remote work flexibility of one day per week.
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