Model Validator

  • Location

    City of London, London

  • Sector:

    Financial Services

  • Job type:

    Contract / Interim

  • Salary:

    Negotiable

  • Contact:

    Standard Bank

  • Contact email:

    alex.johnson@icbcstandard.com

  • Job ref:

    1160648_1578058575

  • Published:

    7 months ago

  • Duration:

    6 months

  • Expiry date:

    2020-02-02

  • Startdate:

    ASAP

  • Client:

    #

The successful candidate should ideally have:
* Hands on experience with validating or building market risk models for FRTB (or similar models such as VaR or SIMM)
* Good understanding of financial products and Greeks.
* Significant hands on experience with valuation models and systems (preferably Murex) - ideally via model validation or model development.
* A good knowledge of regulatory requirements and best practice with regards to model validation and model risk
* Excellent document writing skills
Model Validation:
* Review the implementation of the FRTB SBA model to ensure compliance with regulatory expectations. A main focus is on the review of methodologies for generating input sensitivities for the model, e.g. Jacobian transformations of PV01s. This also includes review of other developments of pricing models where relevant for FRTB. Such a review includes assessing the applicability (i.e. the strengths, weaknesses and limitations) of these pricing models.
* Contribute to model governance and model risk processes
* Conduct validation in line with sound interpretation of regulatory requirements
* Conduct validation with a minimal amount of supervision

Key interfaces:
* Establish a strong working relationship with the Quantitative Analysis Department, Front Office, technology and the risk function