Model Validation Role - Securitised Products - Prepayment Models

Key Responsibilities:

- Model Validation: Independently validate models used for Agency mortgages and securitized products, assessing their conceptual soundness, performance, and ongoing monitoring frameworks.

- Risk Analysis: Identify, analyze, and quantify model risk by evaluating sensitivity to assumptions, calibration accuracy, performance stability, and the robustness of model outputs.

- Documentation: Produce comprehensive and high-quality validation documentation, detailing validation findings, risk-based assessments, limitations, and key assumptions.

- Stakeholder Communication: Present validation results and risk assessments effectively to senior management, model risk governance committees, and business stakeholders.

- Collaboration: Build collaborative partnerships with model developers and other stakeholders, maintaining a position of independent and principled challenge.

Qualifications & Experience:

- Education: Ph.D. in a quantitative discipline (e.g., Statistics, Mathematics, Physics, Economics) or a Postgraduate degree with demonstrably strong relevant experience.

- Experience: Minimum of 3 years of experience in model validation or as a model developer for Front Office, Counterparty, or Market Risk models at a major financial institution.

- Highly Desirable: Hands-on experience working with mortgage pool- and loan-level performance data to identify behavioral drivers of prepayment and default.

- In-depth knowledge of the US mortgage market.

- Proven ability to build and/or validate Agency MBS prepayment models and mortgage credit models.

- Technical Skills: Strong background in statistical modeling, survival analysis, time-series forecasting, and/or machine learning techniques.

- Advanced proficiency in Python, R, and/or SQL for quantitative modeling and data analysis.

- Soft Skills: A collaborative team player with strong verbal and written communication skills.

- Ability to present complex technical information clearly to a non-technical audience.

Leadership Behaviours:

- Exploring Insights & Vision: Comprehensively analyze problems and set focus toward the future vision.

- Making Strategic Decisions: Analyze options and feasibility to resolve issues, making sound judgments and recommendations.

- Inspiring Entrepreneurship: Promote vision and goals to inspire commitment and independent contributions.

- Elevating Organizational Capacity: Maximize organizational productivity through leadership development and engagement.

- Foster a Risk Culture: Promote psychological safety, encourage active participation, and foster a culture of risk awareness.