Senior Model Validator - Pricing and Traded Risk Senior Model Validator - Pricing and Traded Risk …

Selby Jennings
in Rugby, England, United Kingdom
Permanent, Full time
Last application, 12 Sep 21
Negotiable
Selby Jennings
in Rugby, England, United Kingdom
Permanent, Full time
Last application, 12 Sep 21
Negotiable
A Global investment Bank is looking for an experienced Model Validator to join a specialised unit for the Pricing and Trading Risk Team. They will be responsible for the review and validation of Pricing models, Market risk models and counter party credit risk models, playing a key role in the development of the middle office function.

Key responsibilities of the position:

  • Reporting and analysis of pricing models, market risk models and counter party credit risk models,
  • To aid in the development and implementation of valuation model uncertainty analysis for quarterly model risk reporting,
  • Working to collaborate with other model stakeholders such as Front Office, Quantitative Analytics, Market Risk.
  • Recommend and develop continuous improvement in the efficiency and effectiveness of the Bank's processes.
  • Using a mathematical and implementation perspective to validate models and review the applicability pricing/approval of credit Models/volatility modelling.
  • Communicating findings to senior business management and stakeholders.
  • Document model validation testing following up with stakeholders on modelling issues.

Key requirements of the position:

  • A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
  • Experience working in a Model Validation, Pricing or Risk Management role.
  • Minimum 5 year's experience working in a financial, building and/or validating risk models
  • Experience programming and coding in Python, SQL or C++.
  • Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
  • Knowledge and experience working with Fixed Income product lines.
  • In depth knowledge of European and UK markets.
  • Willing to be based in London.
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