Quantitative Model Validation Analyst

  • Location

    England

  • Sector:

    Banking & Financial Services

  • Job type:

    Permanent

  • Salary:

    £60000 - £100000 per annum

  • Contact:

    Gorgui Niass

  • Contact email:

    trdaxtraadresp@thesrgroup.com

  • Job ref:

    PR/206053_1643729973

  • Published:

    4 months ago

  • Expiry date:

    2022-03-03

  • Startdate:

    ASAP

Main daily activities

  • Assessing the fundamental assumptions underlying the models in scope, whether the models are correctly implemented in the systems, and their appropriateness given the business and (evolving) regulatory context
  • Writing high quality validation reports, to be discussed with e.g. model developers, senior management, auditors, the ECB and other regulators. These reports include a description of the methodology, your model risk assessment of the various model validation dimensions, as well as a number of findings for model improvement
  • Participating in the expansion and promotion of our new validation frameworks. These include policies, validation minimum standards and working instructions that aim to professionalize the model risk assessment based on the key model validation dimensions.
  • Participating in the development of our new validation coding libraries.

Ideal Candidate

  • Quantitative background, i.e. a MSc or PhD degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Mathematics, Statics, Physics etc.
  • Two years of relevant experience
  • Depending on seniority level, a curiosity about/ are proficient in IRRBB/ALM modelling.
  • Solid programming experience (preferably in python and/or R)
  • Good English writing skills, you are accurate and skilled at drafting report

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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