Market Risk Quantitative Advisor, Model Validation

Full Time

Madison-Davis

EXTERNAL ROLE

Summary: The Market Risk Department contains a Model Validation Team (6 persons at Master/PhD levels). This independent team is responsible for conducting product and model validation to help assess and mitigate the risk embedded in pricing and liquidity models. This role requires working closely with the Group pricing model validation team. The role also require interactions with different functions which form part of the First line of defense (Finance, Treasury, IT teams, Front Office…) and the Third part of defense (Audit) in order to prepare the validation of the models under regulatory standards as well as continuous review and monitoring of these models. This role also requires frequent communications to internal validation committees composed of senior level experts in the bank.

Responsibilities: Your primary role, as part of the Second Line of Defense validating pricing models, is to review the First Line of Defense modeling proposals. This includes, but not limited to, the following:

  • Identify key risk factors which impact model risk
  • Evaluate soundness of model choices
  • Challenge model assumptions
  • Challenge model implementation: check model is implemented and working as intended, check and review implementation tests performed, review the controls and procedures put in place
  • Perform independent tests on the models (statistical tests, coherence tests, benchmarking, etc)
  • Write validation reports comprising tests performed and findings

Qualifications:

  • Strong analytical skills, especially notions of statistics for finance.
  • Strong knowledge of different modelling approaches to review models, such as stochastic calculus, partial differential equations, Monte-Carlo simulation, machine learning, linear regression, logistic regression, decision tree, time series, optimization etc.
  • Strong ability in statistics and data analysis programs (like R, Python…)
  • Strong reasoning and communication skills Plus:
  • Understanding of banking and market products, risk methodologies, practices and procedures and exposure to institutional sales and trading front office
  • Knowledge of model risk related regulations such as SR 11-7
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