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Model Validation for Market Risk, Counterparty Risk & Pricing

  • Location: London
  • Salary: £80,000 - £100,000 Base
  • Job type: Permanent
  • Job reference: JL/166902
  • Sector: Banking
Job Description

The candidate will work across all the asset classes. My client is a Japanese Bank who has a relatively small model validation team. They have a great internal culture and respect for the model validation team due to a particularly strong head of the team.

As the team is relatively small the breadth of the role is reflectively large, covering Market Risk Methodology (VaR), Counterparty Risk Management/Exposure management (EPE, PFE, XVA; CVA, DVA, FVA etc.) and Pricing.

Candidates will work with an exceptionally strong C# library which is already built for all the products and a C+ Library which is predominantly focused on XVA and will require further development. Candidates will have to have had some coding experience but the hiring manager is relatively relaxed as to which language.

As candidates will work across all asset classes as well as disciplines, covering; Rates, Credit, Equities and FX predominantly. 

The bank does not have hugely complex products and therefore the focus on the role is more towards XVA rather than building pricing models for the purpose of validation.

Candidates will hold at least five years’ experience and will have held roles such as:

Pricing Model Validation

XVA Development or Validation

Market Risk Methodology or Counterparty Risk Exposure management

Quantitative Consultant or Quantitative Regulatory supervisor

 

If you are interested in finding out more, please get in touch urgently as our client will move relatively quickly and there has already been huge interest in this position.

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