Investment Banking - Model Validation AVP

at  Capco

MODEL VALIDATION 4+ YEARS EXPERIENCE - INVESTMENT BANKING - PYTHON/VBA

Joining Capco means joining an organisation that is committed to an inclusive working environment where you’re encouraged to #BeYourselfAtWork. We celebrate individuality and recognize that diversity and inclusion, in all forms, is critical to success. It’s important to us that we recruit and develop as diverse a range of talent as we can and we believe that everyone brings something different to the table – so we’d love to know what makes you different. Such differences may mean we need to make changes to our process to allow you the best possible platform to succeed, and we are happy to cater to any reasonable adjustments you may require. You will find the section to let us know of these at the bottom of your application form or you can mention it directly to your recruiter at any stage and they will be happy to help.

QUALIFICATIONS

• Experience with validation and/or front-line development of derivatives pricing models at a leading financial institution
• Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in VBA/Python), ideally including a solid theoretical understanding of pricing models
• Strong communication skills with the ability to find practical solutions to challenging problems

NEXT STEPS

If you’re looking forward to progressing your career with us, please do not hesitate to apply. We are looking forward to receiving your application.
To learn more about Capco and its people check out the website on www.capco.co

ROLE DESCRIPTION

We are supporting our client in the build out of their Model Validation Team. The team manages risks that arise from models used in the firm throughout it’s range of businesses. You will be responsible for independently reviewing models for validity, theoretical consistency and implementation accuracy, as well as assessing the risk associated with model choice.

KEY RESPONSIBILITIES

• Perform independent validation and approval of models, including raising and managing model validation findings
• Conduct annual review and revalidation of existing models
• Provide effective challenge to model assumptions, mathematical formulation, and implementation
• Assess and quantify the model risk arising from model limitations, to inform stakeholders of their risk profile and development of compensating controls
• Contribute to strategic, cross-functional initiatives within the model risk team
• Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers
• Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management