Model Validation Manager - VP

Your key responsibilities

Supervision and management of junior reports supervising and reviewing their validation work.
Responsibility for the specification and implementation of group policy and regulatory requirements for Delta EVE IRRBB modelling.
Assessing, analysing and test derivative models for pricing, risk management and Delta EVE calculation for IRRBB of Treasury products
Testing pricing models for the purpose of end of day pricing and regulatory scenario stress testing
Collaborating in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation

Your skills and experience

Experience in a Model Validation, Front Office Quant role or other relevant quantitative finance role
A deep understanding of derivatives pricing models and a strong interest in financial markets demonstrated by qualifications and experience
Understanding of and experience with Treasury models for savings deposits, residential mortgages and consumer and business loans
Experience of coding in a managed codebase, familiarity with code versioning systems, project management systems, unit testing, Python scripting is an advantage
An understanding of regulatory requirements and audit oversight for valuation/Treasury modelling an advantage.

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