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Senior Front Office Model Validation Quant - Rates Exotics

  • Location: London
  • Salary: up to £130k
  • Job type: Permanent
  • Job reference: SNMCOIRD
  • Sector:
Job 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 management and governance, the  Model Control Office (MCO) was created at the beginning of 2017 as part of the CRO, independently from the firms model development and model risk management teams. The unit is composed of subject matter experts, acting as a model owner delegate for Markets model owners with respect to the valuation models used for Present Value and risk sensitivities for trading book derivatives and securities. It partners with Model Validation, Model Risk Management, Quantitative Analytics, IT, Market Risk, Product Control and the business in order to deliver its strategic objective of ensuring that valuation models are fully compliant with model risk governance. MCO covers all asset classes. 

The team is expanding as a result of a large number of new models falling in scope (drive by expansion of the bank into more exotic asset classes and the integration of valuation models in the model risk management group) and is seeking a highly technical FX quant to lead the MCO efforts for all FX and FX hybrids models (mainly FX/IR).   

The role sits within a highly quantitative team covering the valuation models used for Present Value and risk sensitivities for trading book derivatives.  The team covers all asset-classes of derivatives and securities including rates, inflation, FX and equity exotics and vanillas, hybrids, XVA, traded credit, securitised products and derivatives, repo/SFT, commodities.  The role is initially in the exotic interest rates team. The main purpose of the role is document and defend the valuation models in front of the Model Validation team and other key stakeholders and more generally of ensuring that the models are fully compliant with model risk governance.  That is, to act as delegate for the model owners within the business, assisting them in their accountability for the valuation models.

The successful candidate will be a technically strong quantitative analyst with deep expertise in exotic rates derivatives pricing/valuation models, either from a front office or model validation background.  You should be operating at a VP level or equivalent in your current role.


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