16 days ago
Counterparty Credit Risk Modelling
Summary for PFE/XVA Model Validation
Core purpose of the role
The Market Risk teams provide risk management of all market risk types including Interest Rate, Inflation, FX, Credit Spread, Commodity and Equity risks. Our client is fully aligned with their values, where they offer an inclusive and supportive environment they strive to enable all our colleagues to improve their potential. They have a reputation for successfully promoting and growing talent.
The Counterparty Credit Risk Modelling team have an exciting opportunity for a suitably qualified individual to be involved in the validation, ongoing performance monitoring and governance of PFE and XVA models. Engagement in these activities will also require liaising and collaborating with other stakeholders in the overall model governance process (including model developers, Front Office trading business, Finance, Credit and regulators).
- Independent validation and development of Potential Future Exposure (PFE) models, and validation of models used for the calculation of CVA, FVA and KVA valuation adjustments (collectively known as XVA) to derivative prices.
- Ongoing monitoring of the performance of PFE and XVA models, as well as providing effective model governance.
- Liaising and working collaboratively with other stakeholders in the overall model governance and internal audit processes.
- Involvement in the IBOR transition project through validation of new products and new curves for new risk-free rates.
Key capabilities and skills
- Strong mathematical skills and a good working knowledge of Mathematical Finance theory Strong programming skills in Python and/or C++ (or similar language)
- MSc or a higher qualification in a highly numerate discipline
- In-depth knowledge of derivative products
- At least 5 years’ experience as a quantitative analyst in a large investment banks or similar financial institution in the role of a developer or validator of Front Office pricing models or risk management models
- Practical ‘hands-on’ model implementation experience is particularly relevant and desirable
- Strong communication and technical writing skills are necessary in order to document model validation analyses, and to communicate findings to senior management.
- The candidate is also expected to have practical experience of effectively managing models and model risk within a fast- paced banking environment as well as being able to work productively with other stakeholders in model governance and audit processes.