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This role is a Manager level role where the successful candidate will play a hands on role in validating XVA / SIMM / PFE models for the bank. It is important that candidates have experience in development or validation of banking models previously.
Validate and manage model risk related issues in rates 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 benchmarking 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 within MRM as needed