Quantitative Analyst, Model Validation, AVP

Jefferies; London; On-site; GBP 70,000 - 100,000; Full time

Job summary

A leading financial services firm seeks an Assistant Vice President Quantitative Analyst for its Model Validation Team. The role involves validating models used across the firm, assessing model risks, and contributing to strategic cross-functional initiatives. Candidates should hold an MSc or PhD in a quantitative field, possess strong Python skills, and exhibit effective communication and teamwork capabilities.

Qualifications

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

Responsibilities

• Perform independent validation and approval of models, including managing findings.
• Conduct annual review and revalidation of existing models.
• Communicate results of validation activities to stakeholders.

Skills

Python Coding

Communication

Teamwork and Collaboration

Education

MSc or PhD in Quantitative Field

Job description

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.

Key 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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