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    Cross Asset Pricing Model Validation - london, United Kingdom - Morgan McKinley

    Morgan McKinley
    Morgan McKinley london, United Kingdom

    4 weeks ago

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    Description
    Job Description

    Job Purpose

    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 role is an essential part of the Model Validation team. The team's remit covers all models including 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 appropriateness of data and calibration.

    Key Responsibilities

    Model Validation focused on pricing models

    • Validate cross asset class front office pricing and XVA models.
    • Validate the models from a conceptual soundness and implementation perspective. Review the applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the models. Independently implement scalable and modular benchmark models. Write model validation reports up to standards such as required by SS 1/23 and follow up with stakeholders on identified modelling issues and model risk mitigants.
    • Participate in the validation of models other than class front office pricing and XVA models where required.
    • Collaborate and interact with the different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal and external auditors.
    • Conduct validations with a minimal amount of supervision in line with internal standards, best practice and regulatory expectations.
    • Participate in model validation aspects of projects and new product approval processes.

    Model Risk

    • Contribute to the collaboration with stakeholders to enhance the overall model risk management framework.
    • Participate in the relevant technical committees and present model validation documents.
    • Conduct model risk management processes including model risk quantification and monitoring, and periodic validation.

    Key interfaces

    • Establish a strong working relationship with the front office and the risk function.
    • Provide stakeholders with answers to day-to-day requests while preserving long term objectives and regular schedule review.

    Preferred Qualifications and Experience

    • Strong experience with validating pricing models. Advanced modelling experience with either XVA, FX, rates, credit or commodities and a good highl evel cross asset class product knowledge are required.
    • In depth knowledge of pricing models, stochastic calculus, stochastic processes and numerical analysis is essential.
    • Good working experience in Excel and C++ is essential.
    • Experience with Murex is beneficial.
    • Good written and verbal communication skills; ability to work independently.
    • Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project-based deadlines.
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