Validate both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications.
Perform and review validation tests, discuss findings with internal and external stakeholders, write validation reports, and managing model risk on an ongoing basis.
Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit, and operational.
Manage model validation, ongoing performance evaluation, and annual model reviews.
Produces analytics and reporting
Communicates results to diverse audiences.
Participates in teams to solve business problems.
Provides guidance to junior validators as and when necessary.
Manages stakeholder interaction with model developers and business owners during the model life-cycle.
4 years experience
Proficient in MS Excel
Experience in a quantitative role in market risk at a financial institution with experience in either model development or validation.
Knowledge of financial instruments, simulation and pricing methodologies, risk estimation, and regulatory requirements
Programming skills in languages like Python, MATLAB, C/C++/C#, VBA, SAS