VP, Credit Risk - Model Validation

Jefferies • New York, NY

141d • $160,000 - $200,000

About The Position

The primary mandate of Model Validation Team is to manage risk that arises from models used in the firm throughout its range of businesses, including models used for derivatives valuation, market and credit risk management, liquidity, and capital computations. The team is responsible for independently reviewing models for validity, theoretical consistency and implementation accuracy, as well as assessing the risk associated with model choice.
Role
Jefferies is looking for a Vice President Quantitative Analyst to join our Model Validation function.

Requirements

• MSc or preferably PhD in a quantitative field (physics, mathematics, computer science, financial engineering, etc.)
• Understanding of all aspects of the VaR computation framework and Counterparty Credit Risk modelling
• Strong Python coding skills preferable
• Strong communication skills with the ability to find practical solutions to challenging problems
• Teamwork and collaboration skills a must
• Experience (at least 5 years) with risk model validation and/or development

Responsibilities

• Perform independent validation and approval of models, including raising and managing model validation findings
• Conduct annual review and revalidation of existing models
• Provide effective challenge to model assumptions, mathematical formulation, and implementation
• Assess and quantify the model risk arising from model limitations, to inform stakeholders of their risk profile and development of compensating controls
• Contribute to strategic, cross-functional initiatives within the model risk team
• Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers
• Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management
• Contribute to automation/AI efficiency initiatives

Benefits

• Jefferies Financial Group is proud to offer a comprehensive benefits package to eligible, full-time employees or part-time employees, who are scheduled to work at least 30 hours or more per week, including an annual discretionary incentive and retention bonus, competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Jefferies also offers paid time off packages that include planned time off (e.g., vacation), unplanned time off (e.g., sick leave), and paid holidays, and for full-time employees, paid parental leave.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: Ph.D. or professional degree
• Number of Employees: 5,001-10,000 employees