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DATE ADDED: Sat 16/05/2020

Head Of Model Validation

London, UK


JOB TYPE: Permanent, FullTime

SALARY: Negotiable


  • Lead the Model Validation team on validating the banks internal models and communicating quarterly reports to the executive board.
  • Responsible for ensuring team members are up to date with regulatory changes and framework.
  • Perform hands-on analytical work
  • Validate the pre-existing developed quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, benchmarking of results with the validated model, error tapping and recovery.
  • Lead and conduct the ongoing model performance monitoring for all the banks internal models - ensuring they meet the required standards and intended use.
  • Carryout the technical review of risk and pricing models by analysing the conceptual soundness and development of the banks internal models, the verification of P&L explanations and validating the numerical methods used.
  • Communicate clearly the required guidelines for documentation, testing and quality assurance for all the internally developed quantitative models and applications.
  • Ensuring that the banks model inventory is up to date - including Identification, risk assessment and model performance.
  • Conduct quantitative analysis on large data sets, data processing, and model performance metrics to facilitate and support the internal model validation teams independent review, findings and recommendations.


  • A PhD in Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
  • Experience working in capital markets, focusing on model risk, model validation, model development or testing pricing models, cross-asset exposure and knowledge of financial products i.e. FX/FI/Cross-currency swaps.
  • Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
  • Strong working knowledge and proficiency with analytic and/or quantitative software in Python, R, C++, Matlab, Quic, Summit and/or NumeriX
  • Previous experience in dealing with executive hires.
  • Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.
  • Proven experience managing and guiding a team throughout projects.
  • Strong quantitative abilities, including research into numerous quantitative approaches and theories underlying the banks various types of models and framework.