
Market risk model validation Quantitative Analyst
Job Description
• Independent validation of market risk models in line with the UBS model governance policy and regulatory requirements. Key responsibilities include
• Assess the model's conceptual soundness and methodology
• Check the appropriateness/quality of input data used for model development, review appropriateness of model parameters, accuracy of the model calibration etc.
• Review model outcome, impacts, or develop alternate benchmark approaches to challenge model outputs (as appropriate)
• Assess model risk, providing effective challenge to model assumptions and evaluate model limitations
• Write comprehensive validation reports, documenting the assessments to required standards
• Collaborate effectively with stakeholders globally to understand / challenge potential model risks; communicate validation findings to relevant stakeholders
• Support ongoing review of model performance and model change reviews to ensure models remain fit for purpose