Model Validation Analyst - London, United Kingdom,

British Pound . GBP -

Model Validation Analyst
London Based

Role Profile

  • Perform independent validations of initial margin models, pricing models, credit rating models, stress test scenarios, liquidity risk framework, collateral haircuts, other 'Risk not in VaR' models and related risk procedures.
  • The scope of validations covers all clearing services in London which includes equity, rates, foreign exchange and commodity asset classes.
  • You will present to, and regularly interact with, senior staff within risk teams and the Risk Committee.

Key Responsibilities

  • Assess the conceptual soundness of the model through quantitative analysis:
    • Ensure the adequacy and appropriateness of the model, their methodologies and framework adopted in respect of the type of contracts they apply to;
    • Challenge quantitatively model parameters and assumptions, methodologies and properties;
  • Annual model validation, ensuring completeness and accuracy of review in line with regulatory requirements and internal policies.
  • Prepare annual validation reports with appropriate recommendations.
  • Track the remediation of recommendations raised in previous validations.

Candidate Profile / Key Skills

  • Working experience:
    • Working experience in financial services, optimally in a Risk department at an Investment Bank (or Clearing House) or a Consultancy servicing an Investment Bank (or Clearing House) where the work was directly related to model design and testing, model validation and / or model risk management.
    • Clearing and exchanges knowledge, including regulatory framework, is an advantage.
  • Education:
  • Postgraduate Degree in quantitative subject.
  • Proficiency with R/Python, SQL and C++
  • Highly motivated and able to work independently;
  • Strong presentation skills;
  • Must be able to challenge the business and manage conflict in a responsible and professional manner;
  • Has the ability to articulate, in a clear and precise manner, the identified weaknesses of the model. This will include the description, severity and remediation plan of the weakness.
  • Team player.
  • IT skills:
  • Soft skills:

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