Key Responsibilities

Performs validation of models and assesses model risk to confirm model appropriateness and capability for a designated portfolio. Provides effective challenge during model development and communicates decisions regarding model use to the business/management to ensure transparency and understanding of models and model risks.

• Develop validation strategies and plans to ensure appropriate type and level of validation of models is carried out.
• Independently validates / tests models and their associated assumptions, benchmarks, and supporting documentation against model validation process, standards, guidelines and principles, which includes:
  • Develop, enhance, and maintain independent benchmark models for exotic equity derivatives (e.g., autocallables, barriers, quantos, range accrual, variance products, hybrids).
  • Analyze complex payoff structures and produce accurate pricing, Greeks, and scenario analyses. <...