Quantitative Analyst, Model Validation, AVP

Jefferies; City Of London; On-site; GBP 100,000 - 125,000; Full time

Job summary

A leading financial services firm is seeking an Assistant Vice President Quantitative Analyst to join its Model Validation function. The role involves performing independent validation of financial models, assessing model risk, and contributing to efficiency initiatives. Candidates should possess an MSc or PhD in a quantitative field and strong Python skills. This position offers an opportunity to work in a dynamic environment focused on managing model-related risks.

Qualifications

• Experience with risk model validation and/or development of Internal Liquidity Stress Test models.
• Understanding of VaR computation framework and Counterparty Credit Risk modelling.

Responsibilities

• Perform independent validation and approval of models.
• Conduct annual review and revalidation of existing models.
• Communicate results of model validation activities to stakeholders.

Skills

Strong Python coding skills

Teamwork and collaboration

Strong communication skills

Education

MSc or PhD in a quantitative field

Job description

Overview

The primary mandate ofModel Validation Team is to manage risk that arises from models used in the firm throughout its range of businesses, including models used for derivatives valuation, market and credit risk management, liquidity, and capital computations. The team is responsible for independently reviewing models for validity, theoretical consistency and implementation accuracy, as well as assessing the risk associated with model choice.

Role

Jefferies is looking for an Assistant Vice President Quantitative Analyst to join our Model Validation function.

Responsibilities

• Perform independent validation and approval of models, including raising and managing model validation findings
• Conduct annual review and revalidation of existing models
• Provide effective challenge to model assumptions, mathematical formulation, and implementation
• Assess and quantify the model risk arising from model limitations, to inform stakeholders of their risk profile and development of compensating controls
• Contribute to strategic, cross-functional initiatives within the model risk team
• Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers
• Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management
• Contribute to automation/AI efficiency initiatives

Qualifications

• MSc or preferably PhD in a quantitative field (physics, mathematics, computer science, financial engineering, etc.)
• Understanding of all aspects of the VaR computation framework and Counterparty Credit Risk modelling
• Strong Python coding skills preferable
• Strong communication skills with the ability to find practical solutions to challenging problems
• Teamwork and collaboration skills a must
• Experience with risk model validation and/or development of Internal Liquidity Stress Test models

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