Model Validator - Risk models

The Model Validator is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.

Responsibilities:

We are looking for a seasoned Model Validator who will manage model risk in the areas of market and counterparty credit risk. The validation covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include performing and reviewing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk on an ongoing basis. ​

Qualifications:

• 5+ years of relevant experience
• Knowledge of financial instruments, simulation and pricing methodologies, risk estimation and regulatory requirements
• Sound knowledge of stochastic calculus, numerical methods and statistics
• Strong communication skills both verbal and written
• Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
• Working Python knowledge
• Ability to work independently
• Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable

Education:

• A Master’s degree or higher in a quantitative field (Mathematics, Financial Engineering, Statistics, etc.) with relevant coursework and experience

In return, we offer:

• Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance, pension plan)
• Work in a friendly and diversified environment, appreciating differences in style and perspective
• A great environment for learning new technology and tools, online and instructor led training opportunities
• Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas
• A chance to make a difference with various affinity networks and charity initiatives

#LI-CM1

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