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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.

 

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