Treasury Model Validation - Investment Banking

  • Salary:£125,000 - £135,000
  • Location:London, England, United Kingdom
  • Job Type:Permanent, Full time
  • Company:Alexander Ash GmbH
  • Updated on:23 Jun 19

Treasury Model Validation - Investment Banking

For this large Investment Banking organisation we are looking for a Senior Treasury Model Validator.


You’ll be joining the Model Risk Management team, which provides independent oversight of the models used across the Bank and provides a holistic view to senior managers. The team is responsible for the independent review and risk analysis as well as governance activities.

Key Responsibilities:

  • Being independently reviewing and challenging the methodologies used to assess the impact of interest rate movements to the Bank’s earnings and capital, as well as liquidity stress testing / funding models
  • Reviewing and challenging the mathematical/theoretical soundness of the model, checking independently its implementation, and assessing its suitability for the quantity modelled
  • Contributing to translating the model risk principle requirement into implementable activities such as testing approach and augment as required, using own expertise in the model
  • Engaging with model developers and owners and communicating in a structured manner with wider model risk stakeholders on every aspect of the model risk management lifecycle e.g. model developer documentation submissions, validation outcomes, compensating controls, model risk assessment etc
  • Engaging in the on-going review of model performance and applicability as well as the validation and review of model changes
  • Supervising and mentoring junior team members as required

Skills & Qualifications:

  • Educated to Bachelor’s degree level or equivalent qualification/relevant work experience
  • Experience in model validation, other quantitative risk management role or Front Office quantitative discipline
  • Solid knowledge of key methodologies for balance sheet modelling (including modelling of non-maturing deposits and behavioral options), as well as asset and liability management activities and associated risk drivers (including liquidity / funding stress testing)
  • Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms and statistical methods
  • Strong understanding in financial markets, demonstrated by qualifications and experience
  • Experience in coding in Python in a managed codebase or equivalent languages