Manager, Model Validation Quantitative Analyst Manager, Model Validation Quantitative Analyst …

Standard Chartered Bank
in London, England, United Kingdom
Permanent, Full time
Last application, 12 Aug 20
Competitive
Standard Chartered Bank
in London, England, United Kingdom
Permanent, Full time
Last application, 12 Aug 20
Competitive
Manager, Model Validation Quantitative Analyst
Salary: competitive
Opening/ closing dates: 22 July 2020 - 19 August 2020


About Standard Chartered
We are a leading international bank focused on helping people and companies prosper across Asia, Africa and the Middle East.

To us, good performance is about much more than turning a profit. It's about showing how you embody our valued behaviours - do the right thing, better together and never settle - as well as our brand promise, Here for good.

We're committed to promoting equality in the workplace and creating an inclusive and flexible culture - one where everyone can realise their full potential and make a positive contribution to our organisation. This in turn helps us to provide better support to our broad client base.


The Role Responsibilities
  • Review and validation of front office derivative pricing models, with a primary focus on interest rates models.
  • Implementation of benchmark models (C++) and testing scripts (Haskell).
  • Development of alternative models and methodologies in order to assess model risk.
  • Proactively liaise with trading, front office quantitative analysts and developers, as well as market risk managers and valuation control analysts, to ensure efficient validations of new models and methodologies.
Business
  • Be core contributor to key deliveries for the team such as validation of new models and payoffs as well as the periodic revalidations in a timely manner.
Processes
  • Ensure that the validations performed are compliant with the GMRP and GMRS as well as with the model family standards for valuation models.
People and Talent
  • Be actively involved in the team hiring process, conducting interviews and help the team identifying and selecting high quality candidates. Participate to internal training sessions to share knowledge within the team, for instance by giving some talks during the team VC meetings.
Risk Management
  • The role will focus primarily on the validation of valuation models for the interest rates asset class, and on the identification and assessment of the associated model risks, providing clear conclusions for committee decisions. In addition, the role will ensure that the main limitations identified during validation phase are adequately reported and articulated to stakeholders, and that the mitigations proposed to control those limitations are adequate.
Governance
  • Ensure that the validations performed are compliant with the GMRP and GMRS as well as with the model family standards for valuation models.
  • Ensure within GMV's remit that the governance framework around valuation models is sound and promptly escalate any identified gap or limitation. Assess the adequacy of the controls proposed to mitigate any limitation identified during validation.
Regulatory & Business Conduct
  • Display exemplary conduct and live by the Group's Values and Code of Conduct.
  • Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
  • Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
Key Stakeholders
Internal
  • Front office quants
  • Trading
  • Traded Market risk
  • Valuation control
  • Valuation control methodology
Other Responsibilities
  • The role holder will also participate in developing and maintaining the model validation pricing library and performed peer reviews of the validation reports in other asset classes.


Our Ideal Candidate
  • Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics or physics. A PhD is preferred. Candidates with educational backgrounds in less technical subjects such as economics, banking or finance are unlikely to be considered.


Apply now to join the Bank for those with big career ambitions.

To view information on our benefits including our flexible working please visit our career pages .
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