Senior Model Validator - Pricing Senior Model Validator - Pricing …

Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 20 Oct 21
Negotiable
Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 20 Oct 21
Negotiable
A Global investment Bank is looking for an experienced Model Validation quantitative analyst to add to their pricing division in London. You will be responsible for validating the front office pricing and XVA models as well as the banks market risk models.

Key responsibilities of the role include:

  • Perform an independent validation cross asset class front office pricing and XVA models.
  • Review and validate the Banks market risk models (VaR/IRC/SIMM/FRTB)
  • Analysis of the conceptual soundness and development of the banks internal models, as well as ensuring they comply with the regulation guidelines.
  • Perform an in-depth quantitative analysis and the independent testing of the bank's credit, risk and pricing models.
  • Using a mathematical and implementation perspective to validate models and review the applicability.
  • Communicating findings to senior business management and stakeholders.
  • Document model validation testing following up with stakeholders on modelling issues.

Key requirements of the role include:

  • A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent
  • Experience working in a Model Validation, Pricing or Risk Management role.
  • Minimum 5 years' experience working in a financial, building and/or validating risk models
  • Strong knowledge working with XVA and Market Risk models.
  • Experience programming and coding Excel, VBA and C++ is essential.
  • Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
  • In depth knowledge of European and UK markets.
  • Willing to be based in London.
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