- Dec 01, 2022
Global investment bank seeks an AVP or VP level Quant as part of its expanding Pricing Model Validation team responsible for model review of cross asset pricing models.
MAIN PURPOSE OF THE ROLE
The successful candidate will be a member of the Valuation Model Validation sub-team of Risk analytics Group. The team is responsible for the 2nd line of defence of the pricing models in use. The team is responsible for model review of new pricing models before use and for the revalidation of pricing models. There are a wide range of pricing models in use across the major asset classes of rates, fx, credit and equity.
The candidate will work closely with other team members, market risk and credit risk within risk, the IT development teams, project management teams and risk model validators. The successful candidate will work in an inclusive and proactive way, ensuring that the team is reactive to new model development and to resolving issues as they arise, and communicate clearly in reporting to management and escalating risks.
- Model Validation of New models
- Model Validation of model changes
- Revalidation of models
- Maintenance of model inventory control
- Follow up on model findings and action plans
- Communication and reporting of findings
- Communication and reporting of validation plans
- Improve existing operational controls around the models and propose new ones to increase robustness.
- Support business and risk department requests in investigations on specific issues.
- Ad-hoc projects as required
- Proactively contribute to wider Risk function initiatives and projects.
SKILLS AND EXPERIENCE
- Solid quantitative skills (computer science or maths/statistics or finance higher education at MSc level or above)
- Understanding of financial markets and products including derivatives
- Familiarity with principles of pricing derivatives
- Experience of risk related role
- Excellent Excel knowledge and experience of VBA/Python/R preferable
- Excellent communication skills, with the ability to adjust to different audiences.
- Highly motivated and innovative, able to work on own initiative
- Excellent accuracy and attention to detail with an analytical mind-set
- Good team player with professional attitude
- Good time management and ability to prioritise
- Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects
- Develop independent implementations of models for plain vanillas and exotics for all assets in checking 1st line implementation
- Interface with FO model libraries and output
- Review and validate models by reviewing: conceptual soundness (assumptions, mathematics and approaches) of the models, data inputs into the models including any procedures for calibration, implementation checking of the model, performance of the output of the model and the governance and documentation of the model.
- Talk to trading desks as well as PRO on the model use, data availability and other inputs to make sure the models are used as intended.
- Present findings to model developers and agree action plans against findings
- Maintain inventories of models and governance reporting on them
- Report to valuation committees on status and findings
- Provide knowledge and technical feedback and research detailed issues where applicable
- Clearly communicate and assist as required on different projects.
- Maintain relationships with internal stakeholders for RAG (FOS, MRM,PRO, technology) and assist with presenting model changes and analysis.
- Clearly communicate and support validation teams in Tokyo
- Clearly communicate and assist with enquiries from external and internal auditors.
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative. BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.