Model Validation

  • Location

    London, England

  • Sector:

    Banking & Financial Services

  • Job type:


  • Salary:


  • Contact:

    Charlotte Dacre

  • Contact email:

  • Job ref:


  • Published:

    about 1 year ago

  • Expiry date:


  • Startdate:


Model Validation

Asset Backed Securities | Model Validator

Are you a talented Asset Backed Security Model Validation specialist?

Then be the first to apply for this brilliant opportunity with a long standing client of ours.

  • London Offices
  • Very Competitive Salary + Car allowance + benefits

As an Asset Backed Securities Model Validation your main responsibilities will be

  • Validate models used for the pricing and risk management of Asset-Backed Securities (ABSs)
  • Involvement in the approval of bespoke transaction prior to execution
  • Analyse and validate standard and bespoke ABS models addressing default projections, cash flow generation and complex waterfall structures
  • Analyse parameter sensitivity and robustness of key features of custom-made ABSs (prepayment, expected loss, rating, value)
  • Evaluate credit quality of underlying loan collateral in ABS and MBS pools and perform cash flow stress analyses
  • Contribute to the development of analytics to assess cash flows of pool of securitized assets and the valuation and risk of ABS, RMBS, CLO positions
  • Develop quantitative tools and metrics for structured credit portfolio risk analysis and validation
  • The review of the model documentation, challenge of model assumptions and mitigating factors
  • Conduct various tests to assure the effectiveness of the development and perform replication whenever possible
  • Model risk assessment based on input data, theoretical soundness, IT, model performance, use, control and processes, sensitivity and scenario analysis
  • Set restrictions and recommendations to improve and/or mitigate model risks
  • Produce validation report and present findings in the approval committees
  • There is also possibility to cover areas outside of securitisation

Minimum skills and experience required

  • Previous ABS, RMBS, CLO or Credit Derivatives markets experience and knowledge of securitisation practices from portfolio management or securities valuations
  • Familiarity with a wide range of risk and financial performance analyses, cash flow forecasting and sensitivity analysis, and contacts within the ABS market is desirable
  • Knowledge of Fixed Income instruments and models would be a plus
  • Postgraduate level education in a quantitative discipline- Ph.D. in Mathematics, Physics or similar numerate subject would be desirable.
  • Familiarity with model risk management, model governance and knowledge of Basel regulation
  • Knowledge of Python and Matlab, SQL, VBA, R, C++, Latex, git and/or any other programming language
  • Strong written and presentation skills.


  • Pension with generous company contributions
  • 30 days' holiday plus bank holidays, with the option to purchase up to 5 contractual days per year
  • £6,000 car allowance per year
  • Individual Private medical Insurance
  • Voluntary healthcare benefits at discounted rates such as Private medical insurance for your family, Dental insurance, Healthcare Cash Plan and Health assessments
  • 24/7 access to an online employee discount platform. Save money on everything from groceries, electronics, fashion, holidays and much more
  • Benefits supporting you and your family, such as Childcare vouchers, voluntary Life assurance and Critical illness
  • Access to an All Employee car scheme
  • Excellent employee recognition schemes, be recognised for demonstrating great behaviours

+ more

Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.

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