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.