Model Validation Contract

€90k - €120k
Permanent
Dublin City Centre
19 Feb 2019
BBBH722337

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.

Key Responsibilities

  • To define requirements for model development and model validation policies in line with policy and best practice;
  • To help build out a complete model inventory and a model risk assessment approach so as to support a risk-based model validation plan;
  • To review and validate material models so as to establish their accuracy and suitability for changing business climate as well as their compliance with policy, standards and regulatory requirements;
  • To write a report summarising your validation findings and take it though governance;
  • To provide expert support and guidance to all stakeholders on model development and validation activities, to help ensure the global model risk operating model is consistently adopted in processes and procedures, and to help model owners, users and developers understand minimum standards (e.g. documentation templates) and model weaknesses.
  • Establish and maintain highly effective working relationships with all key internal 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.

Susan Kelly's picture
Manager | Accounting & Finance
Dublin 01 4485614 | skelly@morganmckinley.ie