Overview

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 and management to ensure transparency and understanding of models and model risks. Assesses model’s capabilities, stress points and limitations; assesses the associated model risk and the controls in place to mitigate identified risks.

Key Responsibilities

• Develop validation strategies and plans to ensure appropriate type and level of validation of models is carried out.
• Independently validate/test models and their associated assumptions, benchmarks, and supporting documentation against model validation process, standards, guidelines and principles.
• Lead model validation efforts across various equity volatility regimes, including stochastic volatility, stochastic‑local volatility, ...