Develops validation strategies and plans to ensure appropriate type and level of validation of models is carried out.
Independently validates / tests models and their associated assumptions, benchmarks, and supporting documentation against model validation process, standards, guidelines and principles, which includes: Develop, enhance, and maintain independent benchmark models for exotic equity derivatives (e.g., autocallables, barriers, quantos, range accrual, variance products, hybrids). Analyze complex payoff structures and produce accurate pricing, Greeks, and scenario analyses. Lead model validation efforts across various equity volatility regimes, including stochastic volatility, stochastic‑local volatility, and jump‑diffusion frameworks. Review and validate model calibration routines to equity vol surfaces, correlation structures, and multi‑asset dynamics, and assess the data for model development as well as inputs to the model; ...