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.