Accessibility Links

Pricing Model Validation Quant AVP

  • Location: London
  • Salary: £60 - £80k
  • Job type: Permanent
  • Job reference: SNPMV
  • Sector: Pricing
Job Description

Our client is a major global investment bank with one of the most sophisticated and developed model risk functions in existence.  The model validation team for trading models is currently expanding significantly in order to deal with the increased amount of models that need validating, as well as the need to revalidate existing models under the new group model risk framework.

Traded Pricing Models is responsible for the quantitative review and challenge across pricing models, market risk models, counterparty credit risk models and finance models.

Key Responsibilities

  • Assisting in the timely delivery of valuation model uncertainty analysis for quarterly model risk reporting, when required
  • Contributing toward the continuous improvement in efficiency and effectiveness of the processes that you are involved in
  • Collaborating with other model stakeholders such as Front Office, Quantitative Analytics, Market Risk, Counterparty Credit Risk and Line Product Control
  • Communicating clearly and concisely complex ideas and concepts to a range of audiences in a variety of circumstances.
  • You will be expected to solve complex problems, both quantitative and qualitative in nature
  • Performing and documenting analysis and testing of pricing models, market risk models and counterparty credit risk models and reviewing of other model types, such as finance.

Key skills

  • A postgraduate level education in a quantitative discipline, for example Mathematics, Physics, Engineering, Quantitative Finance.
  • Proven ability to understand several pricing modelling approaches and their strengths and weaknesses as well as performing and documenting quantitative testing and analyses.
  • Programming experience, for example Python, C++.
  • Exceptional level of verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.


Similar jobs
Senior Model Validation Quantitative Analyst - Credit Derivatives
  • Location London
  • Salary £Excellent total comp
  • Job type Permanent
  • Sector Pricing
  • Description Our client is a full service, global banking group with a market leading securities and derivatives trading arm.   As a response to regulatory requirements relating to effective model risk
VP - Model Validation - Securitised Products
  • Location London
  • Salary £100k
  • Job type Permanent
  • Sector Market Risk, Pricing
  • Description Our client is a a top tier banking group with operations all over the world including a large, successful and expanding structured finance and securitisation franchise
Director/ED - Interest Rates Model Validation
  • Location London
  • Salary £150k - £170k + excellent package
  • Job type Permanent
  • Sector Pricing
  • Description We are working with a major global financial services group who exist at the centre of the global financial markets. As the firm continues to grow in size and services
Related news