Role
Jefferies is looking for an Assistant Vice President Quantitative Analyst to join our Model Validation function.
Key Responsibilities
* Perform independent validation and approval of models, including raising and managing model validation findings
* Conduct annual review and revalidation of existing models
* Provide effective challenge to model assumptions, mathematical formulation, and implementation
* Assess and quantify the model risk arising from model limitations, to inform stakeholders of their risk profile and development of compensating controls
* Contribute to strategic, cross-functional initiatives within the model risk team
* Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers
* Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management
* Contribute to automation/AI efficiency initiatives
Qualifications
* MSc or preferably PhD in a quantitative field (physics, mathematics, computer science, financial engineering, etc.)
* Understanding of all aspects of the VaR computation framework and Counterparty Credit Risk modelling
* Strong Python coding skills preferable
* Strong communication skills with the ability to find practical solutions to challenging problems
* Teamwork and collaboration skills a must
* Experience with risk model validation and/or development of Internal Liquidity Stress Test models