Model Validation
3 weeks ago
Description:
- Perform independent validations of the market risk models, pricing models and stress methodologies
- The role requires regular interaction with the CROs, Heads of Market and Credit Risk as well as regulators and internal audit.
- Each model validation is presented annually to the Risk Committee of the Board highlighting any model weakness and corresponding remedial actions.
Key requirements:
- Minimum 5 years of working experience in financial services where the work was directly related to model design and testing, model validation and / or model risk management.
- Hands-on experience in developing quantitative models, building pricing models, and/or quantitative analytics.
- Perform quantitative testing and analysis which will feed in as input to the Independent Model Validation deliverables.
- Master in Quantitative Finance, Mathematics, Physics, Engineering or Finance.
- Proficiency in writing codes in VBA, R and/or SQL.
- Highly motivated, able to work independently, leadership experience and must be able to challenge the business in a professional manner.
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