Model Validation - AVP/VP Competitive Salary + Bonus + Package London Our Client is a top tier investment bank who are seeking a number of Individuals to help grow out there Model Risk Function: They are seeking professional with strong Model Risk Experience, Especially round Credit, Pricing & securitisation models This role is open at both the AVP & VP Level (Sponsorship is not available on this role)
Our Client is a top tier invesment bank who are seeking a number of Individuals to help grow out there Model Risk Function:
They are seeking professional with strong Model Risk Experiance, who is looking to take the next step in there carrer
- Reviewing, analysing and testing derivative models for pricing and risk management of credit and securitisation derivative products.
- Reviewing and challenge the mathematical and theoretical soundness of models, independently check implementation of those models, assess the suitability of them for the quantity modelled and independently implement models / products in a managed C++ library (requires a good understanding of the mathematical models used, implementation methods, products traded and the associated risks).
- Delivering timely and high quality validation reports for end of day pricing models.
- Engaging in management of Model Risk to assure model risk requirements (e.g. as outlined in SR11-7) are met.
- Engaging with model developers and owners and communicating in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle (e.g. model developer documentation submissions, validation outcomes, compensating controls model risk assessment and ongoing model performance monitoring requirements, etc.)
- Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
- A deep understanding of credit and/or securitisation models.
- Experience coding with additional programming languages in a managed codebase (e.g. C++ and Python) is a distinct advantage.