Model Risk Validation Expert
2 days ago
At Selby Jennings, we are seeking a highly experienced VP - Quantitative Methodologies Validator to join our team. This role is an excellent opportunity for someone looking to work on complex quantitative models and ensure their accuracy and reliability.
The estimated salary for this position is $120,000 per year.
Job Description:
In this role, you will be responsible for the independent validation of quantitative methodologies across various asset classes and model types. You will work closely with our team to ensure that all models meet regulatory requirements and industry best practices.
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
Requirements:
- 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
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