Model Validation, Market Risk Model Validation, Market Risk …

Selby Jennings
in Egypt Lake-Leto, FL, United States
Permanent, Full time
Last application, 23 Sep 21
USD115000 - USD130000 per year
Selby Jennings
in Egypt Lake-Leto, FL, United States
Permanent, Full time
Last application, 23 Sep 21
USD115000 - USD130000 per year
A top 5 US bank is looking to bring on a VP, Model Validation to the Market Risk team! This position will be located in the Tampa market, and there is relocation assistance available.

Key Responsibilities

  • Perform model validation for market risk models
  • Validate 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.
  • Perform and review validation tests, discuss findings with internal and external stakeholders, write validation reports, and managing model risk on an ongoing basis.
  • Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit, and operational.
  • Manage model validation, ongoing performance evaluation, and annual model reviews.
  • Produces analytics and reporting
  • Communicates results to diverse audiences.
  • Participates in teams to solve business problems.
  • Provides guidance to junior validators as and when necessary.
  • Manages stakeholder interaction with model developers and business owners during the model life-cycle.

Qualifications:

  • 4 years experience
  • Proficient in MS Excel
  • Experience in a quantitative role in market risk at a financial institution with experience in either model development or validation.
  • Knowledge of financial instruments, simulation and pricing methodologies, risk estimation, and regulatory requirements
  • Programming skills in languages like Python, MATLAB, C/C++/C#, VBA, SAS
  • Ability to work independently
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