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My client is a leading financial and insurance company that has spun out from a top tier bank, and are now looking to expand their team within Model Risk. Working on the existing library as well as validating a new one, the role offers numerous Greenfield projects while carrying out the reviews of the models used across the firm.
Model validation also includes the designing, conducting of experiments and benchmarking against alternative model performances.
Perform independent reviews of new and existing models, including but not limited to capital and pricing models.
Understand model purpose, the underlying mathematical model, its implementation and its deficiencies.
Understand the model behaviour under stress such as applied in capital calculations.
Apply quantitative and qualitative techniques to model validation; this can include independent implementation of the model.
Propose solutions to model deficiencies
Written and verbal communication of validation work.
Capture existing and on-going model validation work.
Structure the current state of validation, assurance and approval status of models.
Structure model documentation, extending documentation where necessary with the strat team to meet basic model documentation standards.
Aid new modelling by providing coding reviews and proposing model improvements.
Perform any task associated with model risk management as required.
Carry out model risk management tasks with a view to the auditability of model assurance.
Minimum MSc or equivalent level education, in a quantitative field or similar e.g. Mathematics, Engineering or Physics.
Demonstrable, applied expertise in creating and validating pricing and/or risk models for use in a financial services organisation.
High degree of proficiency in computer programming.
Deep understanding of Fixed Income products and derivatives.
A broad understanding of model risk, bringing new approaches and processes.
Expertise programming in C++, Python or Slang.
Knowledge and experience in Athena, Beacon or SecDB.
If this role matches your experience, please apply, or feel free to get in touch with myself at email@example.com