Conduct model validation for market risk models (VaR/Stressed VaR/Risks not in VaR/FRTB) by challenging model assumptions, mathematical formulation, and implementation; Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions; Assess and quantify model risks due to model limitations and develop compensating controls; Develop high-quality validation reports highlighting risks and limitations of models and communicate findings to stakeholders, senior management, and governance committees; Collaborate with Global MRM teams, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle
Requirements:
Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field; In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques; The ideal candidate has strong experience with market risk models gained at a financial institution; Experience developing pricing and risk models using Python, R or Excel VBA is a plus
Text:
Model Risk Management (Traded Risk) - Vice President Conduct model validation for market risk models (VaR/Stressed VaR/Risks not in VaR/FRTB) by challenging model assumptions, mathematical formulation, and implementation; Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions; Assess and quantify model risks due to model limitations and develop compensating controls; Develop high-quality validation reports highlighting risks and limitations of models and communicate findings to stakeholders, senior management, and governance committees; Collaborate with Global MRM teams, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field; In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques; The ideal candidate has strong experience with market risk models gained at a financial institution; Experience developing pricing and risk models using Python, R or Excel VBA is a plus
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