Cross Asset Pricing Model Validation - Senior Manager
London, United Kingdom
Confidential
Bank. The role is an essential part of the Model Validation team. The team s remit covers all models including a wide range of pricing and risk models. The team is expected to look beyond checking the correctness of the model from a mathematical and implementation perspective. It is … a robust challenge to modelling assumptions and to review market applicability issues and appropriateness of data and calibration. Key Responsibilities Model Validation focused on pricing models Validate cross asset class front office pricing and XVA models. Validate the models from a conceptual soundness and implementation perspective. Review the … and follow up with stakeholders on identified modelling issues and model risk mitigants. Participate in the validation of models other than class front office pricing and XVA models where required. Collaborate and interact with the different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal more »
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