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The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models and Valuation Models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm's Model Risk Appetite and escalates model approval breaches.
Key objectives critical to success:
The primary responsibility is to conduct model validation, including model risk analysis, of all internal Risk Models developed in the bank. As a part of the global responsibilities, independent model validations of in-house Risk Models used for assessing the stability or business continuity of the bank from the viewpoint of capital planning and capital adequacy, liquidity adequacy, recovery and resolution planning, appropriateness of Risk Appetite and routine risk management.
Skills, experience, qualifications, and knowledge required:
A minimum of 4-8 years working experience in a quantitative environment
A postgraduate degree in a quantitative discipline
Established experience in quantitative financial models
Strong implementation skills (Python/C++)
Strong verbal and written communication skills in English