AVP Model Validation - Liquidity/Market Risk

Responsibilities:

• Engage in the validation and approval sign off of the firm's models across Liquidity Risk, Market Risk, and Counterparty Risk models.
• Challenge model assumptions, implementations, and mathematical formulations.
• Review and oversee the monitoring of the performance of models including outcomes, verification, and benchmarking.
• Understand and communicate the risks of model limitations to senior management.

Requirements:

• Education: PhD/Masters in a finance/mathematical/quantitative field
• Prior Experience: 3-5 years in model validation of liquidity/market/counterparty risk models.
• Knowledge: Strong understanding and experience working with ILST/VaR models
• Technical: Python