The successful candidate will report to the Head of Model Validation. The purpose of the
role is to act as the second line of defence on Model Risk and to validate the models used
in the Bank. The first line of defence is performed by global Markets IT and the front
office model developers. The third line of defence is the audit department. The role is an
essential part of the Model Validation team in London. This team is responsible
for performing model validation and model review for a wide range of pricing and risk
models. The team is expected to look beyond checking the correctness of the model from
a mathematical and implementation perspective. It is essential to provide a robust
challenge to modelling assumptions and to review market applicability issues and
parameter calibration. The candidate is also expected to look at specific deals. This
includes providing an opinion on proposed booking methodologies. Practical knowledge is
therefore required, in addition to excellent theoretical understanding.
The successful candidate should ideally have:
Hands on experience with validating or building market risk models for FRTB
(or similar models such as VaR or SIMM)
Good understanding of financial products and Greeks.
Significant hands on experience with valuation models and systems
A good knowledge of regulatory requirements and best practice with regards
to model validation and model risk
Excellent document writing skills
Review the implementation of the FRTB SBA model to ensure compliance with
regulatory expectations. A main focus is on the review of methodologies for
generating input sensitivities for the model, e.g. Jacobian transformations of
PV01s. This also includes review of other developments of pricing models
where relevant for FRTB. Such a review includes assessing the applicability
(i.e. the strengths, weaknesses and limitations) of these pricing models.
Contribute to model governance and model risk processes
Conduct validation in line with sound interpretation of regulatory requirements
Conduct validation with a minimal amount of supervision
Establish a strong working relationship with the Quantitative Analysis
Department, Front Office, technology and the risk function
Preferred Qualifications and Experience
In depth knowledge of FRTB SBA model or similar models
Excellent numerical testing skills
Good working experience in Excel is essential
C++ coding skills would be beneficial
Excellent academic credentials in a quantitative field (at least MSc)
Excellent quantitative and problem solving skills
A clear independent and effective communicator, persuasive in inter-personal
With a team of over 200 and growing every day, Goodman Masson is one of London’s specialist Finance and Technology recruitment businesses. Voted ‘Best Recruitment Company to Work For’ in 2018, our passion for what we do is clear.
Based in London, Düsseldorf and New York, we hold annual revenues exceeding £42 million. This includes Qualified & Part-Qualified / Transactional Finance, Actuarial & Investment Management, Audit, Banking Operations, Compliance & Financial Crime, Front Office, Housing Development, Information & Cyber Security, Technology, Digital & Data, Product Control & Valuations, Projects, Change & Transformation, Risk & Regulation, Tax and Treasury.
We also have a Solutions team who provide RPO, hybrid and volume recruitment services. Alongside this, Goodman Masson have developed an Executive Search team who focus on sourcing C-suite talent to fee earning Legal partners.