Junior Model Validation Analyst Junior Model Validation Analyst …

Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Last application, 13 Feb 20
Competitive
Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Last application, 13 Feb 20
Competitive
Junior Model Validation Analyst
Global clearing house seeks a Junior Model Validation team as part of their expanding Quant Finance division.

Role Description
  • Perform independent validations of the initial margin models, pricing models, credit rating models, stress test scenarios, liquidity risk framework, collateral haircuts, other 'Risk not in VaR' models and related risk procedures
  • The scope of validations covers all clearing services in London and includes equity, rates, and foreign exchange asset classes
  • The validations are expected to meet both the internal (Board approved) and external (Regulatory) standards and criteria
  • Each model validation is presented annually to the Risk Committee of the Board highlighting any model weakness and corresponding remedial actions
  • The role requires regular internal interaction with the CROs, Heads of Market and Credit Risk and Heads of Business Lines. The role also involves liaison with regulators and internal audit
  • Finally given the nature of risk models and range of products there is a high degree of quantitative testing and analysis required

Key Responsibilities
  • Assess the conceptual soundness of the model:
    • Ensure the adequacy and appropriateness of the model, their methodologies and framework adopted in respect of the type of contracts they apply to
    • Challenge quantitatively model parameters and assumptions, methodologies and properties
    • Independent analysis of the outcomes of testing results against performance criteria
    • An assessment of pro-cyclical effects and how such effects are mitigated
  • Annual model validation, ensuring completeness and accuracy of review in line with regulatory requirements and internal policies
  • Prepare annual validation reports with appropriate recommendations, suggestions and model limitations for Financial Risk Working Group, Executive Risk Committee and Risk Committee
  • Track the remediation of recommendations raised in previous validations

Key Skills
  • Working experience:
    • Working experience in financial services, optimally in a Risk department at an Investment Bank (or Clearing House) or a Consultancy servicing an Investment Bank (or Clearing House) where the work was directly related to model design and testing, model validation and / or model risk management
    • Clearing and exchanges knowledge, including regulatory framework, is an advantage
  • Education:
    • Postgraduate degree in Quantitative Finance, Mathematics, Physics, Engineering or Finance
  • IT skills:
    • Practical knowledge of at least one of the following languages: R, Python, SQL, C++
  • Soft skills:
    • Highly motivated, organised and able to work independently
    • Strong presentation skills
    • Must be able to challenge the business and manage conflict in a responsible and professional manner
    • Has the ability to articulate, in a clear and precise manner, the identified weaknesses of the model. This will include the description, severity and remediation plan of the weakness
    • Team player: the candidate should be collaborative, and enjoy working with different teams and stakeholders. The candidate should be comfortable with sharing ideas/information freely within the wider team

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

Close
Loading...