VP - Model Risk Validation
1 month ago
ROLE:
- Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc.) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.
KEY 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
SKILLS AND EXPERIENCE:
- Essential:
- 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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