Market Risk Model Validator - AVP


Market Risk Model Validator - AVP

Job Title: Market Risk Model Validator - AVP
Contract Type: Permanent
Location: London
Salary: £65000 - £85,000 + bonus + bens
Start Date: ASAP
Reference: PW467837
Contact Name: Phillip Wood
Contact Email:
Job Published: January 27, 2017 18:24

Job Description

Our vision is to be a strong, independent, world-class risk management function. We look to support the Bank’s strategies whilst protecting its capital and regulatory adherence. Develop your career here, and you’ll be at the heart of a global financial institution that values your ideas and champions your career development.

We take a holistic approach to managing risk and return to effectively manage our risk, capital and reputation. This supports our ability to adapt to an increasingly complex operating environment and further enhances our strong risk culture.

Our aim is to identify, aggregate, manage and mitigate risk across the core activities of market risk, credit risk and operational risk management. We’re closely aligned to our business and infrastructure partners, ensuring that together we achieve the Bank’s aspiration to be the leading client-centric global universal bank.

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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