Overview
Description:
Key Objectives:
This role is for a Risk Model Validator specializing in Market Risk models. Responsibilities include validation and review of:
– Economic Risk Models
– Stress Testing Models
– Regulatory Capital Models (e.g., FRTB IMA and SA, Basel 2.5)
Key validation tasks include:
– Assessing conceptual soundness and model implementation
– Conducting Model Risk Analysis
– Preparing model review documentation
– Reviewing Model Performance Monitoring
– Conducting Periodic Model Reviews
Key Skills:
Mandatory:
– Strong understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo, Finite Difference), and proficiency in one or more programming languages
– Familiarity with econometrics or general statistics
– General knowledge of financial products
Prior knowledge or experience in one or more of the following areas:
a. Risk Models: Value at Risk, Counterparty Risk Exposure models, Margin Models
b. Stress Testing models
c. Interest Rate Modeling: Libor Market Model, HJM, short-rate models
d. Equity Modeling: Pricing of exotic payoffs (Barriers, Lookback, Asians, etc.), Stochastic Volatility Models (Heston, Bates, etc.)
e. Credit Modeling: Pricing of credit derivatives (CDO, Credit Index Options, etc.), CVA calculation
f. FX Modeling: Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos, etc.)
Core Competencies:
– Culture & Conduct: Contributes to a positive culture, demonstrates professionalism, integrity, and self-awareness
– Client-Centricity & Business Acumen: Understands market trends, anticipates client needs, pays attention to detail, and applies analytical thinking to solve problems
– Strategy & Innovation: Thinks strategically, balances alternative views, makes sound decisions, and champions new ideas
– Leadership & Collaboration: Manages talent effectively, collaborates across teams, resolves conflicts, and supports development of others
– Communication & Influence: Communicates clearly and effectively, adapts style to audience, builds strong networks, and influences outcomes
– Execution & Delivery: Drives performance, executes priorities on time, manages stakeholder expectations, and demonstrates accountability