The successful candidate will report to the Head of Model Validation. The purpose of the role is to act as the second line of defense on model risk and to validate the models used in the Bank. The role is an essential part of the Model Validation team. The team's remit covers all material models including a wide range of pricing and risk models. The team is expected to look beyond checking the correctness of the model from a mathematical and implementation perspective. It is essential to provide a robust challenge to modelling assumptions and to review market applicability issues and appropriateness of data and calibration.
What you'll be doing
Model Validation focused on pricing models
- Validate cross-asset class front office pricing and XVA models.
- Assess models for conceptual soundness and implementation accuracy. Review their applicability, including strengths, weaknesses, assumptions, and limitations. Independently develop scalable and modular benchmark models. Prepare model validation reports in compliance with regulatory standards such as SS 1/23 and follow up with stakeholders on identified modelling issues and risk mitigation.
- Participate in the validation of models beyond front office pricing and XVA models as needed.
- Collaborate and interact with a variety of stakeholders and oversight bodies, including the front office, risk department, regulators, and internal and external auditors.
- Conduct validations with minimal supervision, adhering to internal standards, best practices, and regulatory expectations.
- Engage in model validation aspects of projects and new product approval processes.
Model Risk
- Collaborate with stakeholders to enhance the overall model risk management framework.
- Participate in relevant technical committees and present model validation documents.
- Perform model risk management processes, including risk quantification, monitoring, and periodic validation.
Key interfaces
- Establish strong working relationships with the front office and risk function.
- Provide stakeholders with timely responses to day-to-day requests while maintaining long-term objectives and regular review schedules.
What you'll need to be successful
- Excellent academic credentials, with a Master's or preferably a PhD in a quantitative field such as mathematics or physics.
- Extensive experience in validating pricing models. Advanced modeling experience with at least one of XVA, FX, rates, credit, or commodities, and a broad understanding of cross-asset class products.
- In-depth knowledge of pricing models, stochastic calculus, stochastic processes, and numerical analysis.
- Proficiency in Excel and C++.
- Experience with Murex is beneficial.
- Strong written and verbal communication skills; ability to work independently.
- Flexibility to adapt to changing priorities while meeting long-term project deadlines.
