Model Validation Specialist Model Validation Specialist …

Alexander Ash Consulting
in London, United Kingdom
Permanent, Full time
Be the first to apply
00000000
Alexander Ash Consulting
in London, United Kingdom
Permanent, Full time
Be the first to apply
00000000
Posted by:
Anushree Singh • Recruiter
Alexander Ash Consulting
Posted by:
Anushree Singh
Recruiter
You will be responsible for the review and analysis of all Treasury pricing models used for valuation, risk management and regulatory risk reporting, in particular Interest Rate Risk in the Banking Book (IRRBB) (Delta Economic Value of Equity (EVE)) calculation
  • Assessing, analysing and test derivative models for pricing, risk management and Delta EVE calculation for IRRBB of Treasury products 
  • Testing pricing models for the purpose of end of day pricing and regulatory scenario stress testing
  • Documenting test results in a model validation report
  • Collaborating in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation
  • Engaging with the due diligence aspects of the New Product Approval Process, and oversight of model governance for Treasury products
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