Senior Model Validation Quantitative Analyst,
The model validation Group runs the Model Risk Governance Program, which supports and implements the Model Risk Governance Policy for mitigating model risk.
The Senior Quantitative Analyst will play a senior role in the MVG, focusing on reviews of models used to make business and operating decisions—most notably regulatory and economic capital models, as well as insuring the implementation of Model Risk Governance Program guidelines and requirements. These models are in areas including wholesale credit risk (e.g., probability of default, loss given default, exposure measurement, and loan loss reserving); market risk (e.g., daily value at risk pricing models, counterparty credit risk, ALM risk, and terms structure models); and operational risk.
The Senior Quantitative Analyst will participate in model validation to insure model risks are correctly identified, assessed, and captured by:
- Assess model theory and assess model assumptions as well as consider model methods and potential options.
- Test and confirm model results by using documented procedures for running the model(s).
- Review code documentation for proper model implementation, including the possible simulation of results.
- Work with data validation members and information technology professionals to determine model data integrity.
- Perform model validation processes and performing independent model validation of significant models
- Make recommendations and suggest improvements related to the applicability of the different models assessed in meeting their objectives.
Requirements
- PhD, in Finance, Economics or Math.
- 6 + years of work experience in a Financial Services Firm on a Model Validation Team.
- Excellent quantitative modeling, analytical, research and programming skills (C++, SAS, Matlab).
- Strong communication skills both verbal and written
- Good project management skills, with the ability to work independently on multiple tasks and/or projects.
- Knowledge of financial markets and products.
- The candidate must be able to take initiative and meet deadlines
For further information please contact Sophie Good on 020 7005 0420. Alternatively forward your CV to Sophie.Good@AnsonMcCade.com