Asset Backed Securities | Model Validator
Are you a talented Asset Backed Security Model Validation specialist?
Then be the first to apply for this brilliant opportunity with a long standing client of ours.
- London Offices
- Very Competitive Salary + Car allowance + benefits
As an Asset Backed Securities Model Validation your main responsibilities will be
- Validate models used for the pricing and risk management of Asset-Backed Securities (ABSs)
- Involvement in the approval of bespoke transaction prior to execution
- Analyse and validate standard and bespoke ABS models addressing default projections, cash flow generation and complex waterfall structures
- Analyse parameter sensitivity and robustness of key features of custom-made ABSs (prepayment, expected loss, rating, value)
- Evaluate credit quality of underlying loan collateral in ABS and MBS pools and perform cash flow stress analyses
- Contribute to the development of analytics to assess cash flows of pool of securitized assets and the valuation and risk of ABS, RMBS, CLO positions
- Develop quantitative tools and metrics for structured credit portfolio risk analysis and validation
- The review of the model documentation, challenge of model assumptions and mitigating factors
- Conduct various tests to assure the effectiveness of the development and perform replication whenever possible
- Model risk assessment based on input data, theoretical soundness, IT, model performance, use, control and processes, sensitivity and scenario analysis
- Set restrictions and recommendations to improve and/or mitigate model risks
- Produce validation report and present findings in the approval committees
- There is also possibility to cover areas outside of securitisation
Minimum skills and experience required
- Previous ABS, RMBS, CLO or Credit Derivatives markets experience and knowledge of securitisation practices from portfolio management or securities valuations
- Familiarity with a wide range of risk and financial performance analyses, cash flow forecasting and sensitivity analysis, and contacts within the ABS market is desirable
- Knowledge of Fixed Income instruments and models would be a plus
- Postgraduate level education in a quantitative discipline- Ph.D. in Mathematics, Physics or similar numerate subject would be desirable.
- Familiarity with model risk management, model governance and knowledge of Basel regulation
- Knowledge of Python and Matlab, SQL, VBA, R, C++, Latex, git and/or any other programming language
- Strong written and presentation skills.
- Pension with generous company contributions
- 30 days' holiday plus bank holidays, with the option to purchase up to 5 contractual days per year
- £6,000 car allowance per year
- Individual Private medical Insurance
- Voluntary healthcare benefits at discounted rates such as Private medical insurance for your family, Dental insurance, Healthcare Cash Plan and Health assessments
- 24/7 access to an online employee discount platform. Save money on everything from groceries, electronics, fashion, holidays and much more
- Benefits supporting you and your family, such as Childcare vouchers, voluntary Life assurance and Critical illness
- Access to an All Employee car scheme
- Excellent employee recognition schemes, be recognised for demonstrating great behaviours
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.