VP, Model Risk - XVA Models (Risk Management)

Responsibilities:Conduct model validation for XVA models by challenging model assumptions, mathematical formulation, and implementationConduct independent testing to assess model accuracy and robustness under different scenarios and market conditionsAssess and quantify model risks due to model limitations and develop compensating controlsHighlight risks and limitations of models and communicate findings to stakeholders, senior management, and governance committeesCollaborate with Global MRM teams, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycleAssist in cultivating and managing effective relationships with regulators by providing accurate and timely submissions Qualifications: Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative fieldIn-depth knowledge of mathematical finance, derivative pricing, and numerical techniquesRelevant working experience of 5+ yearsThe ideal candidate has strong experience with valuation models gained at a financial institutionExperience developing pricing and risk models using Python, R or C++ (preferred)The ability to effectively communicate with a wide range of stakeholders, both written and verballyThe ability to work independently in a self-directed way in a collaborative, team-oriented environmentAn interest in working in a fast-paced environment, often balancing multiple high priority deliverables

Created: 2025-01-28