Risk Management- Model Validation
- Validation of front office business models across different asset classes (Equity, FX, Credit and Rates). This includes validation of models covering electronic trading, research, investment banking and other models relevant to the trading desks.
- Perform testing and produce validation documentation following the model validation guidelines of SR11-7.
- Timely delivery of model reviews with effective challenge and raising of identified issues.
- Independent model validation through statistical techniques, development of benchmark models and data analysis.
- Review of model methodologies to ensure continuing compliance with different regulatory rules.
- Liaising and collaborating with partners across trading, structuring, research, IT and risk management.
- Conducting research for establishing methodologies that estimate model risks.
- Be expected to demonstrate independence in planning and partner engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.
The truly global scope of model risk means that this role will involve working with a deeply broad group of partners from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models. You Offer
- You're role in the MRM team are expected to hold a first degree in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, and probably a Masters or PhD.
- You have experience of 2-3 years in Model Validation, Front Office Quantitative Analysis or Quantitative Risk Management is helpful.
- You have deep knowledge including programming experience of software applications such as: C++, C#, R or Python.
- You have deep knowledge of financial products, stochastic calculus, statistics and numerical algorithms.
- You have client focus and strong communication skills to senior partners, including the ability to explain complex topics to a diverse range of audiences.
- You have self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results to strict deadlines.
- You are hands-on experience of statistical models and broader financial modeling.