AVP/VP Model Validation

  • 60,000 - 100,000
  • London, England, United Kingdom
  • Permanent, Full time
  • Eximius Finance
  • 26 Sep 16

A leading bank is looking to hire into their model validation team at both the AVP and VP level to cover a mix of Pricing and Risk models.

The team is mainly responsible for the independent validation of models covering pricing accross FX, IR, Credit and Equities.  

This includes the calibration of models to available market prices to ensure consistent valuation of the trading books, and specification of reserving methodologies where appropriate.

Personal Responsibilities:
Participate as a reliable and pro-active member of the team. Take initiative in completing tasks and projects within the team.
Participate in validation and models or new products in the capital markets team.
Take part in the development and the enhancement of the independent model library to support validation and valuation processes.
Support the valuation process of trading books with independent benchmark models and calibrated model parameters.
Preparation of analyses, and regular reporting of model reserve calculations, issue reports, pricing submissions, parameter calibration etc.
Use and interpret a wide range of Front Office, and data systems, e.g. Murex, Avid/Diva and Bloomberg. 
Document processes and results in accordance with internal and external standards.
Develop and maintain good communication with colleagues in related departments such as Trading, Middle Office