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
SKILLS AND EXPERIENCE
Essential:
- At least a first relevant 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
Optional:
- Capital models (Economic/Regulatory)
- Corporate credit risk models (IRB, PD/LGD/EAD)
Competencies:
Essential:
- Good background in Math and Probability theory - applied to finance.
- Good knowledge of Data Science and Statistical inference techniques.
- Good understanding of financial products.
- Good programming level in Python or R or equivalent.
- Good knowledge of simulation and numerical methods
- Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
Beneficial:
- Experience with AI models
- Experience with C++ or C# or equivalent
Optional:
- Up-to-date knowledge of regulatory capital requirements for market and credit risk
Education :
- A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)
PERSONAL REQUIREMENTS
- Strong problem solving skills
- Strong numerical skills
- A structured and logical approach to work
- Excellent attention to detail
- Excellent written and oral communication skills
- Ability to clearly explain technical matters
- A pro-active, motivated approach
