Job Description
Quantitative Analyst - Model Validation (Assistant Vice President Level)
About the Role
The primary mandate of the Model Validation team is to manage model risk across a broad range of business areas, including models used for derivatives valuation, market and credit risk management, liquidity, and capital computations. The team is responsible for independently reviewing models to ensure theoretical soundness, implementation accuracy, and appropriate use. The role involves evaluating model performance, identifying limitations, and helping stakeholders understand the associated risks.
Key Responsibilities
1. Perform independent validation and approval of quantitative models, raising and managing model validation findings.
2. Conduct annual reviews and revalidations of existing models.
3. Provide effective challenge to model assumptions, mathematical formulations, and implementation methodologies.
4. Assess and quantify model risk to inform stakeholders and contribute to compensating control development.
5. Contribute to strategic and cross-functional initiatives within the Model Risk function.
6. Oversee ongoing model performance monitoring, including benchmarking, process verification, and outcome analysis.
7. Communicate validation results, model limitations, and uncertainties to stakeholders an...