Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups. Candidate will report to the Head of Counterparty Model Risk Management
Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.
Validate XVA models developed by front office model developers and IMM/CCR models developed by Global Risk Analytics. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modelling
Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
Perform independently testing to identify/quantify model risk associated with the model being validated
Prepare validation report and technical documents for the model being validated
Work closely with the business, Market Risk, Finance/PVG and other control functions with respect to compensating controls of the models and communication of validation outcomes
Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure
5+ years of quantitative modelling experience in counterparty models or related area in a major trading or investment firm
PhD in quantitative fields such as mathematics, statistics or equivalent
Broad hands-on experience and expertise in quantitative finance for cross-asset classes with in depth understanding of financial mathematics including stochastic differential equations, probability theory, interest rates and credit risk modelling.
Well organized, detail-oriented with good communication skills (both written and verbal)