FRTB/Model Validator - CONTRACT

  • Location:

    City of London, London

  • Sector:

    Risk

  • Job type:

    Temporary

  • Salary:

    £800 - £900 per day

  • Contact:

    Martin Deavin

  • Contact email:

    martin.deavin@goodmanmasson.com

  • Job ref:

    MD82002021_1579867270

  • Published:

    28 days ago

  • Duration:

    6 months

  • Expiry date:

    2020-02-23

  • Start date:

    ASAP

  • Consultant:

    Martin Deavin

Job Purpose

The successful candidate will report to the Head of Model Validation. The purpose of the

role is to act as the second line of defence on Model Risk and to validate the models used

in the Bank. The first line of defence is performed by global Markets IT and the front

office model developers. The third line of defence is the audit department. The role is an

essential part of the Model Validation team in London. This team is responsible

for performing model validation and model review for a wide range of pricing and risk

models. The team is expected to look beyond checking the correctness of the model from

a mathematical and implementation perspective. It is essential to provide a robust

challenge to modelling assumptions and to review market applicability issues and

parameter calibration. The candidate is also expected to look at specific deals. This

includes providing an opinion on proposed booking methodologies. Practical knowledge is

therefore required, in addition to excellent theoretical understanding.

Key Responsibilities

The successful candidate should ideally have:

 Hands on experience with validating or building market risk models for FRTB

(or similar models such as VaR or SIMM)

 Good understanding of financial products and Greeks.

 Significant hands on experience with valuation models and systems

 A good knowledge of regulatory requirements and best practice with regards

to model validation and model risk

 Excellent document writing skills

Model Validation:

 Review the implementation of the FRTB SBA model to ensure compliance with

regulatory expectations. A main focus is on the review of methodologies for

generating input sensitivities for the model, e.g. Jacobian transformations of

PV01s. This also includes review of other developments of pricing models

where relevant for FRTB. Such a review includes assessing the applicability

(i.e. the strengths, weaknesses and limitations) of these pricing models.

 Contribute to model governance and model risk processes

 Conduct validation in line with sound interpretation of regulatory requirements

 Conduct validation with a minimal amount of supervision

Key interfaces:

 Establish a strong working relationship with the Quantitative Analysis

Department, Front Office, technology and the risk function

Preferred Qualifications and Experience

 In depth knowledge of FRTB SBA model or similar models

 Excellent numerical testing skills

 Good working experience in Excel is essential

 C++ coding skills would be beneficial

 Excellent academic credentials in a quantitative field (at least MSc)

 Excellent quantitative and problem solving skills

 A clear independent and effective communicator, persuasive in inter-personal

communication

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