Model Validation Contract (Risk)
Your role will lead the independent validation of some of the most material models used within the business; you will undertake theoretical analysis and review of asset valuation, pricing, market risk, stress testing and investment models across asset classes as a main activity but you may be asked to review other types of models as required by the business. You will need to understand and assess the appropriateness of the conceptual framework, the mathematical formulation, the data used in calibration and testing and the implementation environment of the models. You will also need to support the development and the embedding of the model risk framework, providing quality assurance on the Model Inventory data and supporting the definition of adequate model governance and model-type specific development/validation standards. In addition, you'll provide qualitative SME analysis of pricing models used for pricing and/or risk calculations. Naturally, you'll actively engage and manage relationships with various stakeholders.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.