Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.
KEY RESPONSIBILITIES
* Initial and periodic validation of quant models
* Designing, modelling and prototyping challenger models
* Quantitative analysis and review of model frameworks, assumptions, data, and results
* Testing models numerical implementations and reviewing documentations
* Checking the adherence to governance requirements
* Documentation of findings in validation reports, including raising recommendations for model improvements
* Ensuring models are validated in line with regulatory requirements and industry best practice
* Tracking remediation of validation recommendations
SKILLS AND EXPERIENCE
Essential:
* At least a first relevant experience in quantitative modelling (model development or validation) in one or more of these topics:
* Market risk models
* Counterparty credit risk models
* Derivatives pricing models
Optional:
* Capital models (Economic/Regulatory)
* Corporate credit risk models (IRB, PD/LGD/EAD)
Competencies:
Essential:
* Good background in Math and Probability theory - applied to finance.
* Good knowledge of Data Science and Statistical inference techniques.
* Good understanding of financial products.
* Good programming level in Python or R or equivalent.
* Good knowledge of simulation and numerical methods
* Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
Beneficial:
* Experience with AI models
* Experience with C++ or C# or equivalent
Optional:
* Up-to-date knowledge of regulatory capital requirements for market and credit risk
Education :
* A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)
PERSONAL REQUIREMENTS
* Strong problem solving skills
* Strong numerical skills
* A structured and logical approach to work
* Excellent attention to detail
* Excellent written and oral communication skills
* Ability to clearly explain technical matters
* A pro-active, motivated approach