Role Purpose (overall high level summary of the role)
- Participate in the implementation of model governance framework
- Ensure model inventory and documentation standards are met
- Conduct ongoing model monitoring and periodic reviews, inventory check in and confirmation to tests and processes
- Periodic review (and where applicable re-validation) of models to ensure standards with regard to model testing are met
- Support hub teams on remediation of models
- Participate in the implementation of automation opportunities
Thus, it in the context of model validation, it will be critical for the incumbent to:
- Keep up to date with industry and academic model research
- Have a strong understanding of pricing models and modelling purpose, challenge of solutions to be fit for purpose or not
- Understand and implement key modelling quality - tests, in an automated tests framework
- Have a good grasp on documentation of complex models
Major Challenges (The challenges inherent in the role that require a continual test of the role holder's abilities)
- Proper monitoring and follow up of feedback/requests
- Continuous and proactive interaction with the relevant stakeholders
- First wave of offshoring of Markets Front Office roles so strong support and guidance will be required for the business
- A rapidly changing regulatory environment with extensive impacts on the Markets businesses
- A high risk and sensitive set of functions potentially to be offshored so it is critical there is no negative business or client impact
- Increasing focus on business continuity delivery
- Availability of appropriate resources and conflicting priorities across the business
Knowledge & Experience / Qualifications (For the role - not the role holder. Minimum requirements of the role.)
- A degree based on Mathematical Finance from a top tier university
- Experience in pricing model validation function (at least 3 years)
- C++ proficiency
- Scripting and Python experience (preferable)
Didn’t find the job appropriate? Report this Job