Model Validator-CCR Models

Job Description

The Role Responsibilities Traded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes. This opportunity is for a validator to perform model validations, build benchmark models and conduct testing and develop standardised model testing frameworks. Strategy
• The role sits with the Counterparty Credit Risk Validation (CCR) team which encompasses, XVA, Counterparty Credit Pre-Settlement exposure models, IMM Models and Initial Margin Models (incl. SIMM). The role is expected to conduct validations flexibly within these model types. The role requires collaborative working both across the local team in the UK and other validators in Poland and Singapore.
Business
• Work with stakeholders across business to ensure that counterparty risk models are properly reviewed and validated.
• Liaise with key stakeholders, including sales & trading, front office quantitative analysts and developers, market risk management, counterparty risk management, XVA and valuation control throughout the model risk model lifecycle.
• Contribute to the implementation of independent benchmark/alternative models and development of standardized testing suites to enable exploration and quantification of model risk.
• Delivery of validations of a high quality and according to agreed timelines.
Processes
• Traded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, market and counterparty credit risk of derivatives spanning all asset classes.
• This role is to perform model validations, build benchmark models and conduct testing and develop standardised model testing frameworks.
Risk Management
• Provide oversight of the model validations performed in the CCR model space in the context of both internal and external (vendor) models to ensure they are fit for their intended use cases and that key risks are identified and communicated to stakeholders.
• Ensure sound judgement in the assessment of the strengths and weaknesses of modelling approaches.
Governance
• Actively participate in any key committees or other governance processes that oversee the performance of the CCR models.
• Ensure compliance with any Operational Risk controls over processes that relate to validation activities.
• Awareness and understanding of, the regulatory framework in which the Group operates, existing and emerging regulatory requirements, and the expectations relevant to the role.
• Maintain an open and cooperative relationship in dealings with regulators.
Regulatory & Business Conduct
• Display exemplary conduct and live by the Group s Values and Code of Conduct.
• Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
• Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
• Perform as a role model for the bank s conduct agenda.
Key Stakeholders
• Head of XVA Trading
• Head of CCR Risk Management
• Head of Prime Brokerage
• Heads of relevant model development teams.
Our Ideal Candidate
• PhDs in highly numerical subject such as mathematics, physics, engineering or mathematical finance is expected. Other equivalent highly numerical qualifications/experience which demonstrate a high level of independent technical critique may be exceptionally considered but PhD is preferred.
• Experience in either a model validation or model development role covering pricing, or risk modelling for derivatives for a minimum of three years is expected. Candidates with other similar technical experience will be considered.
• Demonstrable knowledge and ability to apply mathematical techniques in modelling problems ideally including stochastic calculus.
• Knowledge and some practical experience of coding, ideally including C++ but other languages would be considered.
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Keyskills :
role modeluse casescredit riskmarket risk management