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londoner
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Joined: January 28th, 2008, 2:52 am

Which banks has the best/most interesting model validation work?

July 31st, 2015, 4:02 pm

According to this forum, model validation in general is not very interesting and hard to get out of it. Are there any bright spots in the industry about model validation?Perhaps, someone who have done validation work in more than one bank can share their experience?
 
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overkill112358
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Joined: August 18th, 2012, 4:32 pm

Which banks has the best/most interesting model validation work?

July 31st, 2015, 8:04 pm

I'd say Tier II banks have more interesting MV work. In major banks, the amount of stuff to validate is too big for MV to have time to do independent C++ implementations or some alternative research. They are mostly running Excel spread sheets with risks and doing sanity checks using FO library interfaces.I'd be also interested to hear what other people think.
 
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Marco72
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Joined: March 14th, 2006, 11:09 am

Which banks has the best/most interesting model validation work?

August 1st, 2015, 7:47 am

The standards and type of work done in a bank's validation teams can change suddenly due to regulatory demands. Unless you know someone in the bank, the best way to find out is to ask questions during interviews (e.g. to what extent do they re-implement the models, do they have or are they building an independent library, etc).
 
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ThinkDifferent
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Joined: March 14th, 2007, 1:09 pm

Which banks has the best/most interesting model validation work?

August 3rd, 2015, 4:18 am

QuoteOriginally posted by: londonerAccording to this forum, model validation in general is not very interesting and hard to get out of it. Are there any bright spots in the industry about model validation?Perhaps, someone who have done validation work in more than one bank can share their experience?It is all now driven by a regulatory environment. So, at top tier american banks you'll be bogged down by constantly changing standards (documentation, testing, revalidation, monitoring). If by interesting you mean developing alternative models, using lots of judgement when testing and documenting, then smaller bank is a better place. As a matter of fact, the same applies to FO quant jobs (apart from the desk, they are now model val bitches too :) ).
 
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londoner
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Joined: January 28th, 2008, 2:52 am

Which banks has the best/most interesting model validation work?

August 5th, 2015, 1:17 pm

Can you recommend a few small banks that do interesting model val work? and you are right about my definition of "interesting".QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: londonerAccording to this forum, model validation in general is not very interesting and hard to get out of it. Are there any bright spots in the industry about model validation?Perhaps, someone who have done validation work in more than one bank can share their experience?It is all now driven by a regulatory environment. So, at top tier american banks you'll be bogged down by constantly changing standards (documentation, testing, revalidation, monitoring). If by interesting you mean developing alternative models, using lots of judgement when testing and documenting, then smaller bank is a better place. As a matter of fact, the same applies to FO quant jobs (apart from the desk, they are now model val bitches too :) ).
 
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DDUKON
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Joined: September 14th, 2011, 8:46 am

Which banks has the best/most interesting model validation work?

August 8th, 2015, 9:22 am

i have to agree with overkill. tier-2 banks have very good model validation and development framework . this could be because they cannot afford to be conservative..Look for RBC, Nomura, MUSI ,StandardBank or even a few insurance firms..
 
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Stradle
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Joined: March 29th, 2014, 3:36 am

Which banks has the best/most interesting model validation work?

August 11th, 2015, 8:47 pm

Model validation role enables to learn a lot of models which might be not true at FO. On the other hand, model validation is not FO.
 
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ThinkDifferent
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Joined: March 14th, 2007, 1:09 pm

Which banks has the best/most interesting model validation work?

August 12th, 2015, 1:09 am

QuoteOriginally posted by: StradleOn the other hand, model validation is not FO.that's an extremely deep observation
 
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ZhuLiAn
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Joined: June 9th, 2011, 7:21 am

Which banks has the best/most interesting model validation work?

August 12th, 2015, 5:08 am

QuoteOriginally posted by: StradleModel validation role enables to learn a lot of models which might be not true at FO. On the other hand, model validation is not FO.And why is that?
 
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rmax
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Joined: December 8th, 2005, 9:31 am

Which banks has the best/most interesting model validation work?

August 12th, 2015, 7:50 am

QuoteOriginally posted by: ZhuLiAnQuoteOriginally posted by: StradleModel validation role enables to learn a lot of models which might be not true at FO. On the other hand, model validation is not FO.And why is that?Conflict of interest.