I am working with a large International Investment Bank who is looking to bring onboard a new senior leader for their team to serve as a Model Validation Director for their Market and Liquidity Model Validation team in New York. This team sits within the wider Model Risk and Validation group and oversees the validation of all derivative pricing, e-trading, market risk, liquidity risk and xVA/CCR models. It will report directly up to the Head of Model Validation and provide senior oversight across a broad variety of coverage areas.
This hire will be tasked with not only the independent validation from a hands-on perspective of models ranging across derivative pricing, e-trading, market risk, liquidity risk and xVA/CCR models, while also being a people manager who supervises junior team members as they carry out their end-to-end validation duties. Other responsibilities include developing and maintaining model documentation, assessing conceptual soundness of model methodology and model theory, and presenting model findings to senior risk committees and senior management.
The firm is ideally targeting candidates with 8-10+ years of model validation and leadership experience, primarily covering derivative pricing models, along with a higher education degree (PhD preferred), and proficiency in Python.
- Independent validation of all derivative pricing, e-trading, market risk, liquidity risk and xVA/CCR models
- Serving as a senior people manager who supervises the junior members of the team
- Applying model validation methodology to assess the conceptual soundness of model theory
- Developing and maintaining model documentation
- Presenting model validation results to senior management and risk committees
- 8-10+ years of model validation and leadership experience
- Prior experience in derivative pricing (preferably with interest rate and FX products), interest rate, counterparty credit risk and market risk models
- Master's or PhD degree in a relevant quantitative field
- Proficiency in Python and a strong quantitative skillset