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.
