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Top Investment Bank requires a Stress Testing Model Validation expert to oversees model Validation, model governance and the running of Senior Management forums for all models across the Bank.
You'll be responsible for Independently Validating, reviewing and analysing pricing methodologies used within Market Risk Models in the space of Stress Testing for MTM Loss and VaR Value at Risk. Reviewing and analysing the mathematical models used their implementation methods, the products payoffs that are used across multiple asset classes including Credit, Equity EQ, Rates IR with key Multi Curve construction, FX and Commodities and associated risks
You will define validation approach and pilot validation for MTM Loss Model used in CCAR/EBA, communicating results to all key model stakeholders, including Market Risk Methodology , Front Office Quant Developers, Risk Managers Stress Testing Team and identify issues.
You are educated to MSc degree level in a Mathematical subject, deep understanding of Stress Testing and VaR Methodologies and experience in Coding Python and C++ would be beneficial, however not essential.