RMS Manager Senior Manager Model Validation
|Job Title:||RMS Manager Senior Manager Model Validation|
|Contact Name:||PwCRecruiting Team|
|Job Published:||June 11, 2019 18:51|
About the team
A career in our Model Risk and Validation practice, within Risk Modelling Services, will
provide you with the opportunity to help our clients develop a strategic and sustainable approach to
harness the value of their data and drive business results. We work with organisations across
industries to develop customised, cost effective technology solutions that focus on delivering the
relevant, actionable intelligence that executives need to understand operations and manage critical
About the role
The role will involve working with our existing team of approximately 60 banking model specialists to
build on our current portfolio of projects in model validation and investment bank modelling and
increase our capacity and offering in the area of derivative valuation models. This will include:
Derivative modelling – independent implementation of models for both vanilla and exotic
Front Office model testing and documentation
Support to Model Validation teams; carrying out full range of validation activities including
assessment of conceptual soundness, challenging underlying assumptions, theory, data and
limitations of the models being validated.
Advice on industry practice on xVA, Prudent Valuation and Risk Models
Remediating findings from Model Validation/Internal Audit/Regulator
Ongoing model performance monitoring
Helping banks to “industrialize” model validation; developing tools, templates etc
Helping banks to optimize RWA, through strategic choices and hedging
Interaction with stakeholders including risk managers, quants, traders, model validation,
internal audit, Regulators
Maintaining an up-to-date view of regulatory and industry developments in relation to model
risk management and derivatives valuation, sharing this with the wider team and maintaining
leading edge best practice in work performed
Recent industry experience covering model validation, or model development, for derivatives
Essential skills and experience:
valuation or risk models.
Sound knowledge of fundamental derivative and loan pricing/valuation methodologies.
Deep knowledge of valuation methodologies for at least one of the following; Interest Rate
derivatives, Equity derivatives, Foreign Exchange (FX) derivatives or xVA.
Strong general knowledge of either counterparty credit or market risk.
Exceptional communication skills, with particular emphasis on communicating technical
complexity to both technical and non-technical audiences.
Strong people management and client relationship skills including inter-personal sensitivity,
influencing and negotiation skills.
Ability to develop good client/internal client handling skills, including relationship-building
skills that lead to increased consulting opportunities.
Creativity and problem-solving skills in individual, team and collaborative consultant-client
Strong commitment to both personal and team success.
Openness and willingness to share ideas and knowledge.
Desirable skills/ attributes:
First class degree (or equivalent) in technical subject plus further qualification (such as MSc,
PhD or professional qualification in relevant subject/area, e.g, mathematical finance or
technical research involving maths or numerical programming).
External profile: an existing reputation in the market through a combination of consulting
track record, conference appearances, technical professional networks and published work.
Experience communicating with regulators.
Knowledge of at least one of the following (or similar): C++, C#, R, Python
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