RSK-Model Validation Group

About the role

Model Risk Management is a group within Risk Management headed by the Global Head of Model Risk responsible for: Executing and maintaining an effective Model Risk management framework. Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite. Independently validating the integrity and comprehensiveness of the Models in the Firm.

What you'll do

• The current position is for a Risk Model Validator in Market Risk modelling space. The models covered could range across
• Regulatory Capital Models (FRTB IMA and SA, Basel 2.5)
• Validation tasks would include reviewing the
• Conceptual soundness and the implementation of the model
• Preparation of model review documentation

What you need

• Capital markets
• Performance testing
• Market risk
• Wealth management
• Investment banking
• Credit risk
• PhD or B.Tech or B.E.

Good to have

• Statistics