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The Traded Risk Models Independent Validation Unit (IVU) is responsible for the independent quantitative review and validation of traded market risk and counterparty credit risk models and is part of the wider Independent Validation Unit (IVU). You will be primarily responsible for performing and documenting analysis, testing and validation activities for traded counterparty credit risk models.
Job Responsibility:
Validation of models for their intended use and scope, commensurate with the complexity and materiality of the models
Approval or rejection of a model or usage based on assessment of the model’s conceptual soundness, performance under intended use and the clarity of the documentation of the model’s inherent risks, limitations and weaknesses
Assessment of any compensating controls used to mitigate Model risk
Documentation of validation findings and recommendations in clear and concise reports, providing actionable insights for model improvement
Evaluation of the coherence of model interactions and quality of Large Model Framework aggregate results that generate output for regulatory submissions or management decision making and planning
Design of the framework and methodology to measure and, where possible, quantify model risk, including the assessment of framework level uncertainty
Requirements:
MSc or PhD in quantitative finance, mathematics, statistics, physics or engineering
Excellent mathematical skills, including in probability, statistics, differential and integral calculus, linear algebra, stochastic calculus, and numerical methods
Excellent programming skills in languages / packages such as Python or R
Ability to conduct independent analysis, testing, and research
Stakeholder management skills
Nice to have:
Excellent interpersonal skills and an ability to build and maintain a network of stakeholders across the firm
Ability to assess and prioritise model issues in terms of significance and impact
Excellent document writing skills
Ability to simplify and explain challenging technical concepts to senior management