- BBBH781723 Sep 30, 2021 Competitive
Global bank is seeking a Senior Manager level Model Validation Quant Analyst as part of their expanding Quant Analytics function. Role offers cross asset model coverage.
The Model Validation department is part of the Bank's Risk division. The team is responsible for validating quantitative models as part of the independent model validation process. The risk department acts as a second line of defence in the control structure.
The successful candidate will report to the Head of Model Validation. The purpose of the role is to act as the second line of defence on Model Risk and to validate the models used in the Bank. This team is responsible for performing model validation and model review for a wide range of pricing and risk models.
Responsibilities for this role include the validation of pricing models, CVA pricing models and market risk models.
- Validate cross asset class front office pricing and XVA models.
- Validate risk models with a focus on market risk or similar models (VaR/IRC/SIMM/FRTB).
- Review the strengths, weaknesses and limitations of the models and assess whether models are fit for purpose given the current market conditions and business strategy.
- Understand the regulators' expectation in term of Model Validation, through a good knowledge of regulatory frameworks and write model validation reports up to standards such as required by SR11/7.
- Proactively deal with requests such as new projects, new methodology, unexpected market or regulatory changes and associated model validation work.
- Conduct validations with a minimum amount of supervision.
- Participate in the relevant technical committees and present model validation documents.
- Conduct model risk management processes including model risk monitoring and ongoing and periodic validation.
- Establish a strong working relationship with the front office and the risk function.
- Provide stakeholders with answers to day-to-day requests while preserving long term objectives and regular schedule review.
Preferred Qualifications and Experience
- Excellent academic credentials. Masters or preferably PhD degree in a quantitative field such as mathematics or physics is required.
- Strong experience with validating pricing models although strong candidates with a model development background will also be considered. Advanced modelling experience with either FX, rates or commodities and a good high-level cross asset class product knowledge are required.
- In depth knowledge of pricing models, stochastic calculus, stochastic processes and numerical analysis is essential.
- Some experience with market risk modelling, e.g. VaR, IRC or FRTB.
- Good working experience in Excel & VBA and C++ is essential.
- Good written and verbal communication skills; ability to work independently. Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project based deadlines.
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
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