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Global investment bank seeks VP level Model Validation Specialist Quant to cover Credit and Securitisation Models.
Overview: Model Risk Management's mission is to independently and actively manage model risk globally in line with the bank's risk appetite with responsibility for performing robust independent model validation that provides effective challenge to the model development process and includes identification of conditions for use, methodological limitations that may require adjustments/overlays and validation findings that require remediation.
Reviewing, analysing and testing derivative models for pricing and risk management of credit and securitisation derivative products.
Reviewing and challenge the mathematical and theoretical soundness of models, independently check implementation of those models, assess the suitability of them for the quantity modelled and independently implement models / products in a managed C++ library (requires a good understanding of the mathematical models used, implementation methods, products traded and the associated risks).
Developing and set state-of-the-art validation approaches and standards adhering to current and upcoming regulatory requirements.
Delivering timely and high quality validation reports for end of day pricing models.
Discussing with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers; and Finance Controllers.
Engaging in management of Model Risk to assure model risk requirements (e.g. as outlined in SR11-7) are met.
Engaging with model developers and owners and communicating in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle (e.g. model developer documentation submissions, validation outcomes, compensating controls model risk assessment and ongoing model performance monitoring requirements, etc.)
Qualifications & Skills:
Post-graduate qualification (or equivalent qualification / work experience) in a numerate subject such as mathematics, physics, statistics, finance (PhD or equivalent is not required but would be beneficial).
Experience in model validation, other quantitative risk management role or Front Office quantitative discipline / quant role.
Strong understanding in financial markets (especially derivative pricing) demonstrated by qualifications and experience.
Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
A deep understanding of credit and/or securitisation models.
Experience coding with additional programming languages in a managed codebase (e.g. C++ and Python) is a distinct advantage.
Excellent communication skills - both written and oral.
Previous experience of regulatory and audit interaction and familiarity with the broader industry and regulatory environment a distinct advantage.
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
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