FX Model Validator, Associate
1. Independent Model Validation
- Conduct quantitative validation of FX pricing models, including:
- Vanilla FX options (European, American)
- Exotic FX derivatives (barriers, digitals, dual currency, quanto products)
- FX forwards and swaps
- Local‑vol and stochastic‑volatility models
- Perform conceptual soundness reviews, including:
- Model assumptions and methodology
- Choice of stochastic processes and numerical techniques
- Calibration methodology and input data quality
- Build independent benchmark models in Python/C++/Matlab to replicate or challenge FO models.
- Verify implementation correctness by testing:
- Sensitivities (Greeks)
- Convergence properties
- Stress behaviour
- Edge‑case model performance
- Validate model outputs against:
- Market prices
- External benchmarks
- Alternative model formulations
2. Documentation & Reporting
- Produce comprehensive model validation reports summarising:
- Test design and results
- Model limitations and weaknesses
- Validation findings and remediation recommendations
- Ensure model documentation from FO is complete, accurate, and reflective of actual implementation.
3. Model Governance
- Present validation results at Model Risk Committee (MRC) meetings.
- Recommend compensating controls or model usage restrictions when necessary.
- Contribute to maintaining the model inventory, model tiering, and model lifecycle management.
- Monitor ongoing model performance and support periodic revalidations.
4. Regulatory Compliance
- Ensure adherence to regulatory requirements such as:
- SR 11‑7
- PRA expectations for model risk
- Local supervisory rules applicable to trading/model risk
- Support internal/external audits and regulatory reviews related to FX models.
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