My banking client is looking for a Validation Analyst to perform detailed methodology validation and methodology development. Other responsibilities;
- Perform Methodology Validation ofFO Methodologies covering Model reserves, Liquidity reserves and Prudential Valuation. Validation includes
- Assessment of theoretical approach
- Assessment of the approach as applied in practice.
- Detailed analysis of the Market data used.
- Benchmarking of approach to alternative approaches.
- Detailed write up following SR11-7 and suitable for regulatory submission.
- Develop Methodologies forIPV:
- Support the Independent Price Validation (IPV) teams, by developing new and improving existing IPV processes
- Implementation of the approach in Python.
- Liaise with both the IPV and Desk during the development of the approach.
- Create detailed documentation describing the approach.
You will have
- Excellent technical understanding of complex products and the different models used for Valuation
- Excellent understanding of Asset/Derivative Valuation Models-should be able to understand their workings intuitively and be able to communicate with Quants on technical issues
- Experience in a wide range of Credit, Rates and FX products, from a valuations perspective
- Clear understanding and working experience in the concepts of fair value and valuation uncertainty
- Experience in MPU and COC AVA methodologies for Prudent valuation, among others
Eames Consulting is acting as an Employment Business in relation to this vacancy.