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    Risk & Pricing Model Validator VP - london, United Kingdom - Morgan McKinley

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    Job 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 Board

    MAIN 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

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