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Executive Director Quantitative Analytics - Market Risk Model Validation

Scale

Quantitative Analyst

Quantitative Analysis

Model Risk Management

Market model validation

Value-at-Risk (VAR) Calculations

Value at Risk (VAR)

Model Validation

model governance

Work from Home

&nbsp;Lead the Market Models validation team within Model Risk Management domainModel Risk Management (MRM) is responsible for&nbsp;validating models, overseeing the management of model risk exposures across the enterprise, including governing, monitoring, and reporting on aggregate model risk exposures, model validations, and model oversightThis oversight extends to all phases of a model’s life cycle, including model identification, development, validation, implementation, resolution of model risk findings, model usage, performance monitoring, documentation, and retirement.Market Models validation team:&nbsp;&nbsp;This team oversees model risk in capital markets, market risk and counterparty risk.&nbsp;Capital markets models span pricing models for derivatives across all asset classes including equity, FX, interest rate, mortgage, commodity, and credit. Market risk models are used to measure the risk of possible economic loss from adverse changes in market risk factors such as interest rates, credit spreads, foreign exchange rates, and equity and commodity prices, as well as mortgage rates and market liquidity dynamics.Counterparty risk models quantify exposure to counterparty default and valuation adjustments (XVA) for derivative instruments and portfolios.Knowledge of regulatory requirements: SR 11-7, industry standards on model validation, model governance, extensive expertise and keen insight on the model risk management process and future directions, expertise in defining model performance metrics and risk reduction techniques.Previous model development or validation experiences for trading models across asset classes, with in-depth knowledge of pricing models in at least one or two asset classes.Knowledge of VaR models and counterparty credit risk models.Knowledge of a wide range of mathematical approaches and modeling techniques, with deep experience in numerical methods such as Monte Carlo simulation and finite difference methods.

Renascence Talent

Executive Director Quantitative Analytics - Market Risk Model Validation

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