£90000 - £120000 per annum
PCH - Quant Risk_1596198188
about 1 year ago
One of my banking clients is looking for a Quantitative Model Validation Manager to join their team based in London.
You will be responsible for the validation and the review of the models impacted by the firmwide LIBOR Transition Project. The models include valuation models for Interest Rate, Inflation, Equity and Property derivatives but also market and counterparty credit risks models such as Stress Testing, VaR and XVAs models.
- Management of the LIBOR transition program deliverables.
- Conducting independent reviews of the newly developed models and methodologies.
- Performing a theoretical challenge of the proposed models and analyse the impact of different approaches.
- Developing/implementing validation tools and models for the Internal Validation Team library.
- Reviewing developers' technical documentation to assess compliance with model risk policy.
- Ensuring that models are fit for purpose and in accordance with company strategy.
- Creating a validation reports following an assessment of model foundations and performance.
- Presenting main validation findings to management and approval committees
- Following the firm's model risk policies and governance.
- Ensure that models are adequate under current and planned regulatory framework.
- Minimum postgraduate degree in a quantitative field such as Mathematics, Actuarial, Statistics, Mathematical Finance, Data Science, Operations Research, Quantitative Economics or Engineering; PhD would be advantageous.
- Quantitative model validation/model review or model development in Traded Risk/Market risk or Counterparty Credit Risk
- Working knowledge of Python and Matlab is a benefit. Knowledge of SQL, VBA, R, SAS, C++, Latex, git and/or any other programming language or statistical software will be advantageous.
- Appreciation/knowledge of regulatory compliance requirements.
- Experience in LIBOR is a plus
Please send your CV to firstname.lastname@example.org
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.