Traded Risk Model Validation is a group that performs in depth technical validations and risk assessments of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes.
The validation work will cover independent testing, building benchmark models and document the results in model validation reports. As a Lead in XVA Validation, you will be responsible for conducting validations of XVA and related areas encompassing a wide range of models for credit risk hedging and derivative pricing. This role requires collaboration with local validators in London as well as teams globally.
Responsibilities
* Liaise with key stakeholders, including sales & trading, front office quantitative analysts and developers, XVA, market risk management, counterparty risk management, and valuation control throughout the model risk model lifecycle.
* Implement independent benchmark/alternative models and development of standardized testing suites to enable exploration and quantification of model risk.
* Ensure sound judgement in assessing strengths and weaknesses of modelling approaches and actively challenge assumptions and limitations, as well as mitigate model risks via controls and reserves.
* Deliver validations of high quality and according to agreed timelines.
* Apply good practice with coding standards and reviews, as well as with documentation.
* Cooperate with and mentor junior members of the Model Risk Team.
* Apply Model Risk Governance Policies and Standards and ensure compliance with any Model / Operational Risk controls over processes related to validation activities.
* Maintain awareness and understanding of the regulatory framework in which the Group operates, including existing and emerging regulatory requirements and role-relevant expectations.
Qualifications
* PhD in mathematics, physics, engineering, or mathematical finance is advantageous.
Required Skills
* Extensive expertise in model validation or model development roles related to pricing or risk modelling for derivatives.
* Knowledge of Financial Mathematics including Stochastics for XVA and/or pricing of derivatives and basic statistics.
* Recent direct experience in XVA model validation or development is highly desirable.
* Practical coding experience, preferably in C++.
* Strong communication skills to work effectively within a Global Team and liaise with key stakeholders.
* Fluency in written and spoken English.