Model Validation Senior Associate
About the team
The world of Risk and Regulation is changing; join us on the journey and be part of creating a new and relevant financial services industry.
Our Financial Services Risk and Regulation (FSRR) team is made up of over 50 partners and 800 professional staff and our number and capabilities are expanding every day.
About the role
Within FSRR the Model Validation team advises leading banking groups on a wide variety of risk, value and capital management issues. These include:
Portfolio modelling (risk aggregation and allocation)
Model governance and review
Model validation and assurance
Portfolio profitability and optimisation
Regulatory modelling (stress testing/IMM/FRTB/Solvency II)
Credit risk modelling and IFRS9
Essential skills and experience
First class degree (or equivalent) in numerical subject plus further qualification (such as MSc, PhD or professional qualification in relevant subject/area).
Recent industry experience (either via a direct role or secondment) covering model validation, risk management, valuation or other relevant field.
Sound knowledge of fundamental derivative and loan pricing/valuation methodologies.
In depth knowledge of valuation methodologies for at least one of the following; Interest Rate derivatives, Equity derivatives, Foreign Exchange (FX) derivatives or Credit derivatives.
Strong general knowledge of either counterparty credit or market risk.
A good understanding of the role of risk management in helping an organisation achieves its business goals.
Exceptional communication skills, with particular emphasis on communicating technical complexity to both technical and non-technical audiences.
Strong people management and client relationship skills including inter-personal sensitivity, influencing and negotiation skills.
Ability to develop good client/internal client handling skills, including relationship-building skills that lead to increased consulting opportunities.
Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
Strong commitment to both personal and team success.
Openness and willingness to share ideas and knowledge.
Desirable skills/ attributes:
External profile: an existing reputation in the market through a combination of consulting track record, conference appearances, technical professional networks and published work.
Experience communicating with regulators.
Who we’re looking for
We are seeking Principal Consultant level candidates to join our team with a focus on model validation and assurance.
The role will involve working with our existing team of approximately 40 modelling specialists to perform validation of various models in audit support, internal audit co-sourcing and independent validation capacities. The models will cover a broad range of risks (financial risk, market risk, operational risk, interest rate risk, economic capital and stress testing) and asset classes (credit, rates, equities, commodities etc. including derivatives and structured products).
This will include:
Developing and applying best practice model validation frameworks.
Examining conceptual soundness of models being validated.
Reviewing and challenging underlying assumptions, theory, data and limitations of the models being validated.
Review of conceptual and performance aspects of the models.
Interaction with relevant stakeholders including model owners/users/developers, regulators and internal audit.
Writing detailed, structured and clear model validation reports describing the outcomes of the analysis performed.
Maintaining an up-to-date view of regulatory and industry developments in relation to model validation, sharing this with the wider team and maintaining leading edge best practice in work performed.
Performing assessments of model governance, model validation policies and control processes and advising on best practice approaches.
Advising on model life cycle and model development processes as part of broader advisory engagements.