Model Validation Lead

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, Digital Asset Clear

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 Deputy CRO.

  Role Responsibilities

• Own the Independent Model Validation role for LCH SA
• Assess the conceptual soundness of the model through quantitative analysis:
  • Ensure the adequacy and appropriateness of the model, their methodologies and framework adopted in respect of the type of contracts

they apply to;

• 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 pro-cyclical 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 on-boarding, 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.

• Team player: The candidate should be collaborative, and enjoy working with different teams and stakeholders The candidate should

be comfortable with sharing ideas/information freely within the wider team of LCH Group Risk.

• Team leader: the candidate should have the skills and experience to create an efficient working environment for its team where the individuals receive clear instructions and are encouraged to improve their skills while contributing to the team objectives.

LSEG is a leading global financial markets infrastructure and data provider. Our purpose is driving financial stability, empowering economies and enabling customers to create sustainable growth.

Our purpose is the foundation on which our culture is built. Our values of Integrity, Partnership, Excellence and Change underpin our purpose and set the standard for everything we do, every day. They go to the heart of who we are and guide our decision making and everyday actions.

Working with us means that you will be part of a dynamic organisation of 25,000 people across 65 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 across our global business. You will experience the critical role we have in helping to re-engineer the financial ecosystem to support and drive sustainable economic growth. Together, we are aiming to achieve this growth by accelerating the just transition to net zero, enabling growth of the green economy and creating inclusive economic opportunity.

LSEG offers a range of tailored benefits and support, including healthcare, retirement planning, paid volunteering days and wellbeing initiatives.

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