Quantitative Analyst, Model Validation, AVP

The primary mandate ofModel 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.RoleJefferies is looking for an Assistant Vice President Quantitative Analyst to join our Model Validation function.Key ResponsibilitiesPerform independent validation and approval of models, including raising and managing model validation findingsConduct annual review and revalidation of existing modelsProvide effective challenge to model assumptions, mathematical formulation, and implementationAssess and quantify the model risk arising from model limitations, to inform stakeholders of their risk profile and development of compensating controlsContribute to strategic, cross-functional initiatives within the model risk teamOversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developersCommunicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and managementContribute to automation/AI efficiency initiativesQualificationsMSc 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 modellingStrong Python coding skills preferableStrong communication skills with the ability to find practical solutions to challenging problemsTeamwork and collaboration skills a mustExperience with risk model validation and/or development of Internal Liquidity Stress Test models#-LI-PS1 #J-18808-Ljbffr