Reporting to the Local Head of Risk Management Audit and the Global Head of Quant Analytics, this Model Validation Audit role is a key position in both the Risk Audit and Quantitative Analytics Group supporting Model Validation.

You must have strong quantitative skills and market risk knowledge as a practitioner with experience in major asset classes. In particular the successful individual will conduct reviews of risk management and capital models.

You will have experience in VaR methodology, including the Regulatory stressed VaR, Incremental Risk Charge and the comprehensive risk measure., in addition to in depth understanding of the derivative pricing models. There is an expectation for the successful candidate to develop some knowledge of credit and operational risk models.

You will have regular communication with the Global Senior Risk Managers to discuss market trends, model enhancements as well as lend independent advice to various committees dealing with model validation and enhancements.

Skills for Model Validation Audit:

• Masters or Ph.D. in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field.
• Minimum 8 years’ experience in model development, model review or model validation audit with a financial institution within interest rates, FX pricing models, equities, credit, SPG and commodities, with good understanding of model risk control and measurement.
• In-depth knowledge of mathematical finance, derivatives pricing, and numerical techniques for derivatives valuation (Monte Carlo simulation, partial differential equations, numerical analysis, probability theory, etc.)
• Build credible relationships with senior management in the Risk function.
• Ability to programme pricing models for derivatives is preferable (MATLAB, C++)
• Being able to clearly document findings in work papers to ensure they meet internal standards.