Market Risk Model Validator


Market Risk Model Validator

Job Title: Market Risk Model Validator
Location: London
Salary: £75,000 - £85,000
Reference: asfg
Contact Name: Emir Allen
Contact Email:
Job Published: January 27, 2017 16:51

Job Description

A top investment bank is looking for a technical Model Validator to join their Market Risk team.

Job Role:

As part of the Global Model Validation & Governance (GMVG) team, you will be providing independent oversight and governance for Senior Managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results.  GMVG is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the bank.

Your Responsibilities:

  • Independently reviewing and analysing pricing methodologies used within market risk models in the space of stress testing and Value at Risk (VAR)
  • Reviewing and analysing the mathematical models used, their implementation methods, the products (payoffs) they are used for across multiple asset classes and the associated risks that are inherent with these products
  • Independently implementing pricing methodologies/payoffs in a managed C++ library (where appropriate)
  • Communicating the results of the review to all key model stakeholders, including Market Risk Methodology, Market Risk Managers, Front Office quant developers etc.
  • Carrying out in depth discussions on identified issues and potential improvements
  • Being actively engaged in the ongoing review of model performance and applicability as well as the validation and review of model changes on an ongoing basis

Skills & Qualifications:

  • Experience in a Model Validation, Front Office Quant, Quantitative Market Risk or other relevant quantitative role
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods and Numerical Algorithms
  • A strong understanding of Stress Testing and VAR methodologies or cross asset pricing models
  • Excellent communication skills both in writing and orally
  • Interested in financial markets (especially derivative pricing) as demonstrated by qualifications and experience
  • Experience in coding in C++ in a managed codebase
  • Qualified to post-graduate level (PhD beneficial), in Mathematics, Financial Mathematics, Physics or Statistics (or equivalent qualification / experience)

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