Model Validation Lead - Paris, France - LSEG (London Stock Exchange Group)

LSEG (London Stock Exchange Group)
LSEG (London Stock Exchange Group)
Entreprise vérifiée
Paris, France

il y a 3 semaines

Sophie Dupont

Posté par:

Sophie Dupont

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Description
Model Validation Lead_


Department:
_Risk_

Overall Functional Objective

  • Role description:
  • Lead the Independent Model Validation function for LCH SA
  • Perform independent validations of the LCH initial margin models, additional margin models, pricing models, credit rating models, stress test scenarios, liquidity risk framework and collateral haircuts in line with internal policies and model validation procedure.
  • The scope of validations covers all clearing services in LCH SA, which includes RepoClear, CDSClear, EquityClear and CommodityClear as well as CalM and Credit risk.
  • The validations are expected to meet both the internal (Board approved) and external (Regulatory) standards and criteria.
  • Each model validation is presented annually to the Risk Committee of the Board highlighting any model weakness and corresponding remedial actions.
  • Regular reporting of model validation status to risk governance.
  • The role requires regular internal interaction with the CROs, Heads of Market and Credit Risk and Heads of Business Lines. The role also involves liaison with regulators and internal audit.
  • The role covers all the risk models in the SA legal entity and, where applicable, in Group/Ltd.
  • Finally given the nature of LCH risk models and range of products there is a high degree of quantitative testing and analysis skills required.
  • Reference person for all topics related to Model Risk impacting LCH SA
  • Team description:
  • The role sits within the Risk department in Paris.
  • Reports directly to SA COO.
Role Responsibilities

  • Own the Independent Model Validation role for LCH SA
  • Assess the conceptual soundness of the model through quantitative analysis:
  • Challenge quantitatively model parameters and assumptions, methodologies and properties;
  • Use his experience to compare model choices with market practices and relevant regulatory models
  • Independent analysis of the outcomes of testing results against LCH performance criteria;
  • An assessment of procyclical effects and how such affects are mitigated.
  • Depending on organizational choices, manage a team of internal validators and/or oversee external validators.
  • Manage a budget for external validators and oversee the supplier selection and onboarding, liaising with Procurement, Finance and Legal departments.
  • Perform an Annual model validation for all models, ensuring completeness and accuracy of review in line with regulatory requirements and internal policies.
  • Prepare and present annual validation reports with appropriate recommendations, suggestions and model limitations for Financial Risk Working Group, Executive Risk Committee and Risk Committee.
  • Represent LCH SA Independent Model Validation when facing the relevant Regulators
  • Track the remediation of recommendations raised in previous validations and be responsible for escalation to the CRO and relevant committees when required.
  • Perform the annual review of the Model Governance Validation and Review Policy to ensure that it complies with the regulatory and LSEG Group standards.
  • Take part in the LSEG Group initiatives regarding Model Risk Management and be the key contact person for all topics related to LCH SA Model Risk
Experience and skills

  • Working experience:
- [10 Years] Working experience in financial services, optimally in a Risk department at an Investment Bank (or Clearing House) or a

Consultancy servicing an Investment Bank (or Clearing House) where the work was directly related to model testing, model validation

and / or model risk management.

  • Clearing and exchanges knowledge, including regulatory framework, is an advantage.
  • Education: Postgraduate Degree in Quantitative Finance, Mathematics, Physics, Engineering or Finance.
  • IT skills:
  • Proficiency with VBA and/or R/Python,
  • SAS and/or SQL is an advantage.
  • Soft skills:
  • Highly motivated and able to work independently;
  • Strong presentation skills.
  • English Fluently spoken and written.
  • Must be able to challenge the business and manage conflict in a responsible and professional manner;
  • Has the ability to articulate, in a clear and precise manner, the identified weaknesses of the model. This will include the description, severity and remediation plan of the weakness.


At LSEG, we believe that creating a diverse and inclusive organisation is fundamental to the way we deliver on our promise of creating essential partnerships and open opportunities.

Our open culture is central to how we deliver our purpose - driving financial stability, empowering economies and enabling customers to create sustainable growth - in everything we do.

Working with us means that you will be part of a dynamic organisation of 25,000 people across 70 countries.

However, we will value your individuality and enable you to bring your true self to work so you can help enrich our diverse workforce.

You will be part of a collaborative and creative culture where we encourage new ideas and are committed to sustainability ac
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