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Model Validation VP
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Risk, Model Validation Quant, AVP
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Morgan McKinley Camden Area, United KingdomThe Model Risk & Analytics team provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. Model Validation as part of Model Risk Management is responsible ...
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Quantitative Risk Analyst
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Investment Risk Analyst
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Quantitative Credit Risk Advisory
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Finance Data Specialist
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Senior Quant Analyst
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Quantitative Developer
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Digital Design Project Lead
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Manager of Machine Learning
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Data Scientist
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Actuarial Data Engineer
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Salesforce Developer
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Desk Quant
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Data Architect
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Salesforce Service Cloud Architect
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Cyber Security Manager
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Process Engineer
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Cheme Camden Area, United KingdomCheme - Partner of Consultys - is a team of dedicated professionals that are passionate about what we do and how we do it. Cheme is a place where you will be challenged, supported, and given the freedom and ownership to thrive. We attract the best because we continually invest in ...
Risk & Pricing Model Validator VP - Camden Area, United Kingdom - Morgan McKinley
Description
The Model Risk Management (MRM) within ERM is responsible for model governance and the validation of models used by the bank in EMEA.
This includes, among others, risk models which are used for risk measurement and decision-making purposes.MRM works closely with Risk Analytics and Front Office quants to ensure that all risk models are validated on a periodic basis as well as at inception and changes.
MRM provides regular model risk reporting to model oversight committees and the BoardMAIN PURPOSE OF THE ROLE
Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.
KEY RESPONSIBILITIES
Initial and periodic validation of quant models
Designing, modelling and prototyping challenger models
Quantitative analysis and review of model frameworks, assumptions, data, and results
Testing models numerical implementations and reviewing documentations
Checking the adherence to governance requirements
Documentation of findings in validation reports, including raising recommendations for model improvements
Ensuring models are validated in line with regulatory requirements and industry best practice
Tracking remediation of validation recommendations
Preparation of model risk reporting for Model Oversight Committee and Board
