Model Validation - CONTRACT ROLE - £700 per day


Model Validation - CONTRACT ROLE - £700 per day

Job Title: Model Validation - CONTRACT ROLE - £700 per day
Contract Type: Temporary
Location: London
Salary: £700 per day
Start Date: ASAP
Reference: PW5673
Contact Name: Phillip Wood
Contact Email:
Job Published: August 31, 2017 11:17

Job Description


RATE: £650 - £700 PER DAY


OVERVIEW: My client is looking for an experienced model validation cadnidate with strong knowledge in either Pricing or Risk model validation from Investment Banking.


Technical Capabilities and expertise NEEDED:

  • In depth knowledge of pricing models, stochastic calculus, stochastic processes and numerical analysis is essential. Experience with risk modelling is desirable
  • Excellent knowledge of banking products in a dealing room context
  • Excellent quantitative and problem solving skills
  • A clear independent and effective communicator, persuasive in inter-personal communication
  • Ability to deliver practical solutions in a demanding high-pressure environment
  • Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project based deadlines
  • Proficiency in Excel and VBA / C++ or similar languages is essential
  • Excellent academic credentials is essential
  • The successful candidate will be a confident pro-active self-starter, an intelligent lateral thinker and a problem solver who is good at dispute resolution

Model Validation

  • Validate the quantitative models used across the bank from a mathematical and implementation perspective. Models in scope include the front office cross asset class pricing models and risk models used by the various risk departments (Market Risk, Credit Risk, Operational Risk, Liquidity Risk).
  • Review the applicability (i.e. the strengths, weaknesses and limitations) of the models used across the bank. This requires assessing whether models are fit for purpose given the current market conditions. Hence a deep understanding of the markets and their most recent developments is required.
  • Review the calibration of the models according to the most recent market developments.
  • Understand the regulator’s expectation in term of Model Validation, through a good knowledge of the current and forthcoming regulatory framework (European CRR text as well as PRA Supervisory statements)
  • Perform ad-hoc validation on specific deals. Proactively deal with requests such as new projects, new methodology, unexpected market or regulatory changes.
  • Review back testing and stress testing programs. Ensure appropriate contribution to the “Firm Wide” stress test.

Model Governance

  • Participate as defined by the head of model validation to the relevant Technical committees, such as the RTC (Risk Technical Committee) and RMAC (Risk Methodology Approval Committee).
  • Ensure on-going and periodic validation: As per the various regulatory requirements (i.e.: CRR), an ongoing validation schedule should be maintained, based on the risk and complexity of the models. This calendar should be defined and agreed with the head of model validation.

Systems Developments and New Products

  • Participate in the validation of new systems
  • Provide specifications to IT and project teams (within the limits of conflict of independence).
  • Provide comments and advisory to the new products approval forum within the limits of conflict of independence.

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