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Model Validator, IR Valuation Models

Selby Jennings
London, United Kingdom
£120k - £120k
Closing date
Dec 17, 2022

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Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Job Responsibilities:
  • Manage the annual review of models used by the bank for measuring market and Counterparty credit risk, suggesting improvements and action plans.
  • Validating Interest Rate, Inflation, Equity and Property derivatives but also market and counterparty credit risks models such as Stress Testing, VaR.
  • Performed model validations performed in the IR valuation model space in the context of both internal and external (vendor) models to ensure they are fit for their intended use cases and that key risks are identified and communicated to stakeholders.
  • Validate the pre-existing developed quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, benchmarking of results with the validated model, error tapping and recovery.
  • Review new pricing codes, covering consistency checks, the verification of P&L explanations and validating the numerical methods used.
  • Carry-out independent model validation of in-house Risk Models (Counterparty Credit Risk) used for assessing the stability - including: capital planning and capital adequacy, liquidity adequacy, recovery, and resolution planning, appropriateness of Risk Appetite and routine risk management.
  • Communicate clearly the required guidelines for documentation, testing and quality assurance for all the internally developed quantitative models and applications.

  • PhD in Quantitative Finance, Mathematics, Physics, or other science disciplines.
  • Minimum 3 years' experience in validation of Valuation, Pricing and Risk Models.
  • Experience in either a model validation or model development role covering pricing, or risk modelling for derivatives.
  • Experience working within a valuation model validation team covering interest rates (IR), FX, credit, commodities, and equity.
  • Strong analytical and problem-solving skills.
  • Experience using Python, C++, Matlab, R, Quic, Summit and/or NumeriX.
  • Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.

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