XVA / Counterparty Risk Model Validation XVA / Counterparty Risk Model Validation …

Gresham Hunt
in London, England, United Kingdom
Permanent, Full time
Last application, 21 Feb 20
Up to £90,000 Basic + Bonus & Benefits
Gresham Hunt
in London, England, United Kingdom
Permanent, Full time
Last application, 21 Feb 20
Up to £90,000 Basic + Bonus & Benefits
Gresham Hunt are working with a well known Banking Group in London who are recruiting a Model Validation professional to join their team


  • Performing robust independent model validation that provides effective challenge to the model development process and includes identification of conditions for use, methodological limitations that may require adjustments/overlays and validation findings that require remediation;
  • Ensuring early and proactive identification of model risks across businesses and regions;
  • Designing and recommending Model Risk Appetite;
  • Effectively managing and mitigating model risks in line with the bank’s risk appetite;
  • Establishing model risk metrics that are used to assess the model control environment and are reported to the Management Board on a periodic basis;
  • Designing and implementing a strong model risk management and governance framework, including the establishment of senior forums for monitoring and escalation of model risk related topics;
  • Creating bank-wide Model Risk related policies, aligned to regulatory requirements with clear roles and responsibilities for key stakeholders across the model life cycle.

Key Responsibilities:


  • The role is as a Quantitative Analyst to independently review, analyse and test derivative models for pricing and risk management of credit and securitisation derivative products.
  • Review 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).
  • Develop and set state-of-the-art validation approaches and standards adhering to current and upcoming regulatory requirements.
  • Deliver timely and high quality validation reports for end of day pricing models.
  • The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers.
  • Pro-actively engage in management of Model Risk to assure model risk requirements (e.g. as outlined in SR11-7) are met.
  • Engage with model developers and owners and communicate 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.)
  • Actively engage in the on-going review of model performance and applicability as well as the validation and review of model changes.

Qualifications & Skills:

  • Post-graduate qualification (or equivalent qualification / work experience) in a numerate subject such as mathematics, physics, statistics, finance (PhD or equivalent is not required but would be beneficial).
  • Experience in model validation, other quantitative risk management role or Front Office quantitative discipline / quant role.
  • Strong understanding in financial markets (especially derivative pricing) demonstrated by qualifications and experience.
  • 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.
  • Excellent communication skills – both written and oral.
  • Previous experience of regulatory and audit interaction and familiarity with the broader industry and regulatory environment a distinct advantage.