RSK-Model Validation Group

About the role

The Model Validation Group (MVG) is globally responsible for independently validating the integrity and comprehensiveness of Risk Models, Valuation Models, IPV models, Liquidity models and Algo trading models in the firm. MVG also develops measures of Model Risk, monitoring Model Risk vs. the firm’s Model Risk Appetite and escalates model approval breaches.

What you'll do

• Review internally and externally developed Valuation Control models (with additional opportunity to start working on Front Office derivative pricing models)
• Development of tools for Implementation testing to ensure that the production model is consistent with its theoretical basis
• Assessment of the integrity and suitability of Model parameters
• Analysis of Model Assumptions and quantification of model Risk
• Preparation of model validation documentation

What you need

• 3–6 yrs of experience
• Valuation
• Excel
• VBA
• Python
• Wealth management
• Investment banking
• MBA or B.Tech or B.E.

Good to have

• Market risk
• Credit risk