Pricing Model Validation

  • 45000-65000
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • B&FS Risk
  • 16 May 18 2018-05-16

A leading financial institution are looking for an individual with a strong Market Risk and Model Validation background who is interested in developing their Quantitative Skills in a cross asset role.


  • Perform independent validations of the initial margin models, pricing models, credit rating models, stress test scenarios, liquidity risk framework and related risk procedures.
  • The role requires regular interaction with the CROs, Heads of Market and Credit Risk as well as regulators and internal audit.
  • Each model validation is presented annually to the Risk Committee of the Board highlighting any model weakness and corresponding remedial actions. 

Key requirements:

  • Minimum 3 years of working experience in financial services where the work was directly related to model design and testing, model validation and / or model risk management.
  • Clearing and exchanges knowledge, including regulatory framework, is an advantage.
  • Hands-on experience in developing quantitative models, building pricing models, and/or quantitative analytics.
  • Perform quantitative testing and analysis which will feed in as input to the Independent Model Validation deliverables.
  • Master in Quantitative Finance, Mathematics, Physics, Engineering or Finance.
  • Proficiency in writing codes in VBA, R and/or SQL.
  • Highly motivated, able to work independently, leadership experience and must be able to challenge the business in a professional manner.