Stress Testing Model Validator


Stress Testing Model Validator

Job Title: Stress Testing Model Validator
Contract Type: Permanent
Location: London
Salary: £65000 - £85,000 + bonus + bens
Start Date: ASAP
Reference: PW465846
Contact Name: Phillip Wood
Contact Email:
Job Published: January 27, 2017 18:18

Job Description


The Global Model Validation & Governance (GMVG) team was established to oversee model validation, model governance and the running of senior management forums for all models across the Bank to manage model risk.  GMVG is responsible for the independent review and analysis of all derivative pricing models and re-pricing methodologies for scenario based portfolio models used across the Bank. 

Key Responsibilities:

  • Independently review and analyse pricing methodologies used within market risk models in the space of Stress testing for MTM Loss and VaR. 
  • Review and analyse the mathematical models used, their implementation methods, the products (payoffs) they are used for across multiple asset classes, and the associated risks that are inherent with these products. 
  • Define the validation approach and pilot validation for the MTM Loss model used in CCAR/EBA
  • Implementation of testing in Python and independent implementation of pricing methodologies/payoffs in a managed C++ library (where appropriate). 
  • Communication of the results of the review to all key model stakeholders, including Market Risk Methodology, Market Risk Managers, FO quant developers etc, and in depth discussions on identified issues and potential improvements.
  • Communication with senior management on validation strategy and results in order to inform business decisions
  • Active engagement in the ongoing review of model performance and applicability as well as the validation and review of model changes on an ongoing basis.

You will have:

  • Post-graduate qualification in numerate subject such as Mathematics, Financial Mathematics, Physics, Statistics or Finance. PhD is a plus.
  • Experience in a Model Validation, Front Office Quant, and Quantitative Market Risk or other relevant quantitative role.
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms as well as understanding of Products traded.
  • A deep understanding of Stress Testing and VaR methodologies
  • A strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and experience.
  • Experience in coding in Python and C++ in a managed codebase is a plus.
  • Excellent communication skills – both written and oral.

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