YOUR SKILLS AND EXPERIENCES

• Post-graduate qualification (or equivalent qualification / work experience) in a numerate subject such as Mathematics, Physics, Statistics, Finance (PhD or equivalent is not required but would be beneficial)
• Experience in model validation, other quantitative risk management role or Front Office quantitative discipline
• Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms, and statistical methods. Understanding of stress testing and VAR methodologies or cross-asset pricing models is a plus
• You have experience in coding in Python in a managed codebase or equivalent languages
• Self-motivated and proactive team player that possesses excellent communication skills, both written and spoken in English

DETAILS OF THE ROLE AND HOW IT FITS INTO THE TEAM

You will join the Model Risk Management (MoRM) team which provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk, and stress results. Model Validation as part of MoRM is responsible for the independent review and analysis of all pricing models used for valuation and risk across the bank.

YOUR KEY RESPONSIBILITIES

• As a Model Senior Validation Specialist, you will be responsible for validating models and the creation of validation reports for market risk models
• You will independently review and challenge the methodologies used to generate scenarios and revalue positions, in the space of PnL stress testing and Value at Risk
• You review and challenge the mathematical/theoretical soundness of the model, check independently its implementation, and assess its suitability for the quantity modelled
• You engage with model developers and owners and communicate in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc.
• You deal with on-going review of model performance and applicability as well as the validation and review of model changes