Job Description The Model Risk & Risk Governance Department (MR&RG) within the Risk Department is responsible for Model Risk Management ("MRM") for the Natixis Group. Within the Model Risk Management, the Valuation Model Validation Team (VMV) is in charge of validating: - the front office valuation models - the adequacy between the front office model and the payoff in terms of valuation, hedge, and risk indicators used to monitor the activity, - the observability level of the payoff/model and/or the model parameters (if any) - the use of the prices and sensitivities from the front office model for market risk capital calculation purposes This mission is part of the independent and effective challenge of the models, in order to estimate and mitigate the model risk. The main activities of the Valuation Model Validation team are:
On a large panel of assets classes (interest rates, forex, credit, equity, commodities, XVA) and in coordination with different departments (Trading and Structuration Teams, Research and Development, Market Risk Department, Middle office...) and with the internal and external Audits (external auditors, internal audit, European Central Bank, Federal Reserve Bank, Prudential Regulation Authority, Financial Conduct Authority...), the team validates the pricers / models / numerical methods developed by the front office, via: - a theoretical analysis: analysis of the modelling choices and assumptions - an independent re-implementation to perform algorithmic validation: analysis of the consistency of the implementation. The re-implementation is done in a library designed and maintained by the team, - Challenge with alternative or bench-marking models to perform the model risk study;
The team validates the methodologies of model risk reserves to mitigate model risk and the model parameter uncertainty;
The team performs generic validation of new products in relation with the New Products and New Activities Committee;
The team provides some analysis of the quantitative studies from the Market Risk Department, as part of the authorization of new products in one-off mode (for the most complex transactions)
The team validates the data model methodologies proposed by the front office;
Technologic and academic watch on the models The Senior Model Validator is responsible of his/her subject and may get support from expert members of the team. Based in London, the Senior Model Validator is part of the global team and will attend via videoconference all the meetings with the global team hosted in Paris and New York. The open position is more dedicated to Equity Markets and Commodity products but the candidate may review valuation models from other asset classes. The topics will also cover the stress tests. The Senior Model Validator will functionally report to the Head of the Valuation Model Validation Team, based in Paris.
MSc and PhD in Mathematics or Econometrics or Finance, or equivalent education
From 10 to 12 years of experience in pricing model validation or pricing model design
Good knowledge of UK (Prudential Regulation Authority), European (European Central Bank, European Banking Authority, European Securities Authority), and international (the Basel Committee, the International Swap Dealers Association) regulation is a plus.
Significant experience drafting documentation and reports for senior management and supervisors Technical:
Excellent level in mathematical finance and stochastic calculus
Very good knowledge of valuation techniques
Very good knowledge of derivative products
Good knowledge of the Accounting Standards (IFRS 13) and of the Fundamental Review of the Trading Book (FRTB) Knowledge:
French may be an advantage
Strong ability to draft memo, very good writing skills
Very good knowledge of Microsoft Office Tools (XL, Word, Access)
Very good knowledge of programming software (C++, XL VBA, R)
Internal Number: 5669026
About Natixis UK
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