Description
The Model Validation Manager is responsible for Model Validation and sits within the CRO function. The role reports to the Quantitative Analysis and Model Validation Director, within the broader Market Risk Team.
The role covers all clearing services in LCH Ltd (SwapClear, Listed Rates, ForexClear, RepoClear and EquityClear) and CaLM (Collateral and Liquidity Management).
Key responsibilities include:
- Managing the execution of the annual LCH Ltd Model Validation cycle within regulatory and policy compliant timelines
- Providing effective challenge to model owners on model formulation, assumptions and implementation
- Supporting the Quantitative Analysis and Model Validation Director in maintaining relevant market risk policies
- Managing independent validations of LCH Ltd initial margin models, pricing models, credit rating models, stress test scenarios, liquidity risk framework, collateral risk framework and related risk procedures
- Maintaining up-to-date model inventory, actions tracking, model validation reports, policy and procedure
- Providing insight on Model Validation topics for LCH Ltd
- Acting as a quantitative risk expert in support of all other risk managers in the team
- Helping develop and maintain analytical tools to enable risk analysis
Requirements:
- Strong experience working in a quantitative risk, model validation or model development function within a financial services organisation
- Good understanding of the central clearing business
- Deep domain expertise, including extensive technical knowledge of risk management techniques such as Value at Risk, Expected Shortfall and Stress Testing
- Ability to critically review risk models and provide effective challenge to senior technical colleagues
- Demonstrable programming expertise, with prior experience in Python and SQL preferred
- Good collaboration and negotiation skills
- Proactive, pragmatic, and thoughtful approach
- Good presentation skills
Education:
- Educated to a degree level in a numerical or scientific field, or equivalent experience
- Post-graduate qualifications in a quantitative field would be a definite advantage
- Relevant professional qualifications, would be advantageous