Head of Model Validation

  • Location

    City of London, London

  • Sector:

    Operations & Middle Office

  • Job type:


  • Salary:

    Up to £120000.00 per annum

  • Contact:

    Tracy Freeman

  • Contact email:


  • Job ref:


  • Published:

    over 1 year ago

Head of Model Validation
Salary £120k circa
City based

Our client, an International Investment Bank based in the City, are looking to hire a Head of Model Validation to join their expanding Risk Department. The Risk Management Department is responsible for delivering an independent assessment of the risks taken across all the trading activities of the Company, and the revenue generated in relation to these risks. It is also responsible for implementing a limit framework consistent with the Company's risk appetite and capital resources, in agreement with the Company's Board and Mizuho Securities. The department is led by the Chief Risk Officer and is made up of the following teams: Credit Risk Management, Market Risk Management, Model Validation, Operational Risk Management, Regulatory & Liquidity Risk Management, Risk Analytics and Risk Reporting.

As part of the Model Validation team, the role is responsible for taking the second line defence of the model risk management framework of the firm by conducting independent model validation and quantification of model risk including necessary communication of key facts and issues identified through those activities. The role is also responsible for keeping close communication with the business and internal auditors for the firm's three line defence model of the model risk management framework to work effectively.

Responsibilities of the Head of Model Validation will include;

  • Taking oversight over Model Validation team's activities for the team to conduct effective model risk management. This includes taking an active role with the trading desks and building the appropriate interactions. This also includes ensuring that the members in the team have appropriate development, training and reviewing their work.
  • Support the Deputy CRO with enhancing and maintaining the firm wide model risk management. This includes delegation of authority of the Deputy CRO for making decisions on model risk management issues and representing him when necessary.
  • Performing independent model validation for all models as per defined in the firm's model risk management framework, including valuation models, risk models and other models.
  • Model validation should also be conducted on a periodical basis in light of effectiveness of model assumptions, market conditions, size and nature of the firm's portfolio, etc.
  • Quantifying model risk and producing periodical reports for the firm's model risk status to be properly communicated to the senior management.
  • Reviewing the firm's model risk management framework and conducting necessary enhancement in light of the industry best practice, materiality of the firm's model risk and regulatory requirements such as SOX and EMIR.
  • Maintaining the firm's model register together with relevant model validation documents as a key tool to underpin the firm's model risk management framework.
  • Liaise with the Global Methodology team lead by head office for continuous improvements for the group's model risk management.

To be considered for this position, ideal candidates must have the following experience & skills;

  • Masters or Ph.D. level in a numerate discipline or equivalent experience.
  • Considerable experience developing and developing models for the valuation of derivatives
  • Experience around CVA and recent derivative issues
  • VaR and Stress Testing
  • Keeping controls of model register or relevant documents.
  • Developing models for liquidity management
  • Working closely to recent changes or regulatory requirements
  • Experience managing model risks.
  • Relevant programming skills (C++/VBA)
  • Good knowledge of financial theory and time series analysis.
  • Database management skills (SQL etc).

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