VaR Model Validation Lead - Director

12 Jul 2019

Global investment bank seeks Director level Quant for the role of VAR Model Validation lead.

The successful candidate will join the Trading Model Validation team which is responsible for the validation of trading models such as Pricing, VaR, RNIV, Counterparty, Algo and AI models. The successful candidate will:

  • Ensure consistency of standards across the validation activities pertaining to VaR and RNIV models across all asset classes.

  • Liaise with the vertical cluster heads and provide expertise with regards to key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, timeseries etc.

  • Be responsible for the validation of the list of the horizontal VaR/RNIV models i.e. models which are applicable across all clusters. Review, verify and validate those models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring, as well as contribute in the firm-wide model risk and control assessment.

  • Represent the Trading Model Validation team in senior internal governance forums, prepare the relevant presentation materials and ensure flow of information to the VaR validation teams.

  • Participate in the IMA relevant regulatory meetings and coordinate the activities pertaining to the material preparation.

  • Liaise with all relevant internal and external stakeholders and ensure appropriate governance is being followed as part of the IMA validation activities within the Trading Model Validation team. Be expected to demonstrate independence in planning and stakeholder engagement, results interpretation and presentation.

As part of the Model Validation team within Model Risk Management the candidate will gain training and exposure to modelling in areas such as risk models across all asset classes as well as other modelling areas like pricing models. The specific role combines validation and governance activities and will allow the successful candidate to widen their expertise beyond the traditional quantitative activities. Liaising with senior management and the regulators is also another aspect of the specific role. The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business and senior management.


  • You will have previous quantitative experience within an investment bank validating or developing VaR models with a good understanding of products traded and risks generated by trading strategies.

  • Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, and preferably a Masters or PhD, having a strong mathematical background in statistics, time series analysis and probability theory is essential.

  • Good programming skills using one of the following C#, F#, Python or R.

  • Client focus and the ability to communicate effectively with senior stakeholders, including the ability to explain complex topics to a diverse range of audiences.

  • Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results to strict deadlines.

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.

Alex Riedl's picture
Senior Consultant | Risk Management Recruitment
London + 44 20 7092 0103 |