Key responsibilities of the role include:
- Responsible for the validation of counterparty credit exposure and XVA models.
- Review of risk factor stimulation models, back testing and model calibration.
- Implementation of bench mark models, covering both the implementations and features.
- Document model validation testing and findings to a high standard and follow up with stakeholders on identified modelling issues.
- Communicating the different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal and external auditors.
Key requirements of the role include:
- A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent
- Experience working in a Model Validation of counter party credit risk models.
- Minimum 5 years' experience working in a financial, building and/or validating risk models
- Experience programming and coding Excel, VBA and C++.
- Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
- In depth knowledge of European and UK markets.
- Willing to be based in London.