Vice President, Model Validation
Core
Independent validation of quantitative models across asset classes with a focus on PFE & XVA types to safeguard the integrity of the group's risk management framework.
Role type
Senior IC model validation leader (quantitative finance)
Builds
Independent validation reports, challenger models, and model risk assessments for oversight committees
Domain
Financial services / Quantitative risk modelling
Deliverable
production ML models
Required skills
Quantitative modelling (counterparty credit risk, derivatives pricing), xVA model development/validation, Python or R, numerical implementation testing, regulatory compliance, challenger model design
Preferred skills
Data science concepts, financial mathematics, pricing methodologies, risk modelling techniques
Technologies
Python, R
Responsibilities
Conduct initial and periodic validation of quantitative models; Design and prototype challenger models; Perform comprehensive quantitative analysis of frameworks and assumptions; Test numerical implementations; Check compliance with governance requirements; Document findings in validation reports; Track remediation actions; Prepare model risk reporting for oversight committees; Collaborate with Risk Analytics and Front Office quants
Seniority
Vice President, strategic oversight & hands-on validation
