Model Validation - Pricing and Risk (AVP/VP)
Consultant Harriet King
Date posted 02 November 2016
Several exciting new roles are available in a leading European Bank. These positions sit in a new team created for the validation of all traded risk and pricing models reporting directly to the CRO. This has coverage across pricing models, market risk models, counter-party credit risk models and finance valuation control models, at present the team is currently responsible for approving in excess of 1000 models.
As a model validator in this team you will be required to:
- Perform and document analysis and testing of market risk, counterparty credit risk, capital and pricing models
- Contribute toward the continuous innovation and improvement in efficiency of processes and discussion of overall team strategy
- Collaborate with all model stakeholders: Front Office, Quantitative Analytics, Market Risk, Counterparty Credit Risk, Line Product Control, Independent Valuation Control, and Regulatory Liaison as well as other parts of the Traded Risk IVU team
- Clearly and concisely communicate complex ideas and concepts to a range of audiences in a variety of circumstances
- Solve complex problems, both quantitative and qualitative in nature
To be a successful applicant you will have:
- A postgraduate degree in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance
- Proven ability to understand a variety of pricing modelling approaches and their strengths & weaknesses as well as independently performing and documenting quantitative testing and analyses. (Please note this will be tested in detail at interview)
- Extensive programming experience, for example VBA, C++
- Experience of collaboration in projects together with more junior team members.
- Strong verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances
- Excellent communication skills who is comfortable working against tight short-term deadlines in a dynamic environment
- A highly rational & logical thought process with a strong attention to detail
- Able to understand the principles behind the role purpose and responsibilities as well as the wider business context in which those responsibilities exist
If you are interested in discussing this role further please speak to Harriet King, firstname.lastname@example.org or 02075098258.