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Quantitative Pricing and Risk Model Validation Analyst

Macquarie Group
London, United Kingdom
Closing date
Aug 19, 2022

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Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Are you looking for a career where you can apply your quantitative and technical skills to validate models used within an industry leading commodities and global markets business? We will provide in-house training to enhance your modelling skills. You will bring programming and analytical techniques, plus a willingness to learn.

You will join our Model Risk Management team, who have a global responsibility for ensuring the integrity of our key financial models. This includes validation of models used for the pricing and risk management of trading positions.

The role will provide you with the opportunity to be a part of a team that thrives on cross-skilling, ensuring that your skillset and knowledge are constantly growing.

In this broad role, you will learn and participate in a broad range of modelling work, including the validation of complex models such as:
  • derivative pricing models in all asset classes,
    • index products including those with embedded algorithms,
    • curve bootstrapping models for use in interest rate, credit, FX and commodity markets,
    • models used for risk management including initial margin (SIMM), valuation adjustments (XVA), counterparty credit risk (CCR) and market risk (VaR/FRTB).

To validate the models, we utilise a range of analytic techniques including simulations, regression analysis, optimisation and time series analysis. These are implemented using a variety of computing technologies, your experience in one or more of, C++, R, Python, VBA, Excel, MATLAB and Mathematica would support your success in this position.

Also critical to this role is the team's ability to maintain efficient communication with key stakeholders regarding models used for the pricing and risk management of trading positions.

To thrive in this role, you will likely have
  • a quantitative educational background and exceptional problem-solving skills
  • a thorough understanding of financial markets and of key risk factors for financial products
  • the capacity to communicate effectively with key stakeholders, both verbally and in writing

If you're looking for a new challenge, we would like to hear from you. Please apply today.

About the Risk Management Group

The Risk Management Group (RMG) is an independent, centralised unit responsible for ensuring all risk across Macquarie are appropriately assessed and managed. Its divisions include Behavioural Risk, Compliance, Credit, Financial Crime Risk, Internal Audit, Market Risk, Operational Risk, Regulatory Affairs and Aggregate Risk, and RMG Enterprise Support.

Our commitment to Diversity, Equity and Inclusion

The diversity of our people is one of our greatest strengths. An inclusive and equitable workplace enables us to embrace that diversity to deliver more innovative and sustainable solutions for our people, clients, shareholders and communities. At Macquarie, you'll be encouraged to be yourself and supported to perform at your best. If you're inspired to deliver on our purpose of 'empowering people to innovate and invest for a better future', we want you on our team. If you need adjustments made to the recruitment process, please reach out to your recruiter.

As an inclusive employer, Macquarie does not discriminate on the grounds of age, disability, sex, sexual orientation, gender identity or expression, marriage, civil partnership, pregnancy, maternity, race (including colour and ethnic or national origins), religion or belief.

Joining Macquarie means you'll be able to work in a way that suits you best. With the right technology, support and resources, our people can work in a range of flexible ways. Talk to us about what working arrangements would help you thrive.

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