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Senior Model Validation Analyst

Posted on Mar 19, 2020 by Levy Associates Ltd

Not Specified, Netherlands
Immediate Start
Annual Salary

Senior Model Validation Analyst

The position

In this role, you will be part of an international team of one of the leading Dutch financial companies. As a Senior Model Validation Analyst in the FtBtR (Front-to-Back-to-Risk) Model Validation Team you will be responsible for implementing curve and valuation configuration in the Murex system in advance of the migration of different asset classes into the system. You will further be responsible for proving that the configuration yields accurate valuation and risk figures for the production portfolios to meet regulatory requirements.
This role requires a deep expertise in the Front Office and Risk modules of Murex combined with expert knowledge of a wide range of financial instruments and the analytics associated with them.

Your profile as a Senior Model Validation AnalystProduct & business knowledge Essential

* Proven experience with the Murex MX.3 FO and Risk Modules
. Knowledge of and experience working in an international Financial Markets organisation
. Knowledge of financial markets Front Office trade execution, capture and processing
. Extensive knowledge of the financial modelling in a financial markets environment covering a wide range of instruments and their valuation, P&L and risk management requirements
. Extensive knowledge of the Murex package including the configuration of instruments, curves and market data


. Knowledge of model methodologies for XVA
. Knowledge of Murex XVA functionality
. Knowledge of Murex specific testing tools (Onyx/MXTest)
. Knowledge of the Murex MX.3 system architecture

Technical Skills Essential

. Experience with model validation processes in banking
. Experience with model validation testing and regression testing
. Tools: Microsoft Office and VBA


. Tools: Team Foundation Server (TFS), JIRA, Azure DevOps

Key Responsibilities and Accountabilities of a Senior Model Validation Analyst:

* Understanding financial modelling requirements and translating them into Murex MX.3 technical solutions.
. Support financial engineering and model validation teams in the model testing in Murex.
. Root cause analysis in model testing outcomes.
. Priotisation and resolution of pricing or model differences with the engineering, model validation, programme squads and supplier (Murex) teams.
. Maintenance and change control of (dedicated) Murex based model testing and model regression testing environment.
. Support and maintenance of a model regression test set in consultation with the engineering and model validation teams.
. Support and outcomes/differences analysis of a model regression test
. Working closely with business analysts, financial engineers and developers in multiple teams to ensure any findings from the model validation testing are appropriately incorporated in designs and configuration developed for production usage
. Working according to the agile framework in place for the project team.
. Working with the designated tooling solutions and development and testing standards agreed within the FtBtR programme.

Reference: 866442939

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