Model Validation Quant - AVP Model Validation Quant - AVP …

Selby Jennings
in Egypt Lake-Leto, FL, United States
Permanent, Full time
Be the first to apply
Negotiable
Selby Jennings
in Egypt Lake-Leto, FL, United States
Permanent, Full time
Be the first to apply
Negotiable
The Model Risk Management (MRM) organization provides oversight for the Model Risk Management Framework, which consists of the policy, processes, and procedures through which the firm identifies, measures, manages, monitors, reports, and controls model risk across the firm. This position is a unique opportunity to learn how the trading book models are developed and validated in a Tier one Global Investment Bank.

We are looking for model validation quants for the Market Risk and Counterparty Credit Risk validation team MRM, covering models in the following areas:

  • Initial Margin models, e.g. SIMM
  • Comprehensive Capital Analysis and Review (CCAR) trading book risk models
  • Internal Capital Adequacy Assessment Process (ICAAP) models covering different countries and legal entities globally

The validation covers 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. Job responsibilities include reviewing models and identifying shortcomings, performing validation tests, discussing findings with senior stakeholders, writing validation reports, and managing model risk on an ongoing basis

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