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This role sits in the FX pricing model validation The position requires an experienced
Candidate with strong technical, leadership, and organisation skills. The candidate should be fluent in derivative pricing for FX products and modelling approaches, and should have experience developing models either in a Front Office or Model Validation role.
Knowledge and understanding of local stochastic vol modelling and long dated FX.
Knowledge and understanding of FX and XVA for rates would be valuable. Experience with Stochastic Volatility modelling is preferred.
A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected.
The ability to work well with senior stakeholders within the firm and with our regulatory colleagues is essential.
This role has high visibility and growth potential--clear communication and subject matter expertise are critical.
You will be interacting with senior members of the Front Office, Market Risk, Finance, and regulatory agencies as required.
Validate and manage related issues in FX derivative pricing
Provide effective challenge to model assumptions, mathematical formulation, and implementation
Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
Develop independent bench marking tools for validation purposes across the team
Provide subject matter expertise to stakeholders
Represent the firm in interactions with regulatory agencies, as required
Contribute to strategic, cross-functional initiatives
Internal Number: 6276182
About Selby Jennings
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