Responsibilities

You will be working with the independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models across business functions, and development of challenger models as necessary. It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors and client model validators. You will be expected to work hands-on to validate models, bring in thought leadership and domain/quantitative best practices to present effective challenge to the models. Your activities will include, but will not be limited to the following:

End-to-end independent validation of market risk and regulatory models VaR, SVaR, Expected Shortfall, RNiV, PFE, CVA

Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use

Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines

Development of benchmark models for derivatives valuation and sensitivity analysis.

Assessment of the model monitoring and implementation process. Assessessment of the model calibration techniques

Prepare model validation report summarizing findings and provide recommendations