VP, Model Risk - XVA Models (Risk Management)

-Conduct model validation for XVA models by challenging model assumptions, mathematical formulation, and implementation

-Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions

-Assess and quantify model risks due to model limitations and develop compensating controls

-Highlight risks and limitations of models and communicate findings to stakeholders, senior management, and governance committees

-Collaborate with Global MRM teams, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle

-Assist in cultivating and managing effective relationships with regulators by providing accurate and timely submissions -Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field

-In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques

-Relevant working experience of 5+ years

-The ideal candidate has strong experience with valuation models gained at a financial institution

-Experience 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 verbally

-The ability to work independently in a self-directed way in a collaborative, team-oriented environment

-An interest in working in a fast-paced environment, often balancing multiple high priority deliverables