An excellent Senior Risk Manager opportunity has arisen for a highly motivated individual to join the Risk Science Office - Market and Liquidity Risk team.
This is an exciting opportunity to be part of a dynamic team in a changing and complicated environment, which offers considerable scope for personal development.
In this rare and impactful role, you'll be joining the Pricing Model Validation
team within the Methodology and Models team which covers the pricing, counterparty credit, and market risk measurement modelling.
The team is responsible for:
Who are You?
- the independent review and analysis of the derivative pricing models used for valuation and risk.
- some focus on equity investment & real estate valuation models.
- developing & benchmarking pricing models in an independent code library using either C++ or Python
- providing theoretical analysis and review of pricing models across asset classes understanding the mathematical models used & their implementation methods.
- providing qualitative analysis and stress testing of models needed for pricing and/or risk calculation
- Conducting the annual review for pricing models
- Undertaking algorithmic trading validation work according to MiFID regulations.
- deliver trade surveillance validation work needed by FCA regulation.
- Crafting model reserves and calculate model risk AVAs.
- Reviewing the Prudential Valuation adjustments including reserves.
- Have a robust Quantitative background.
- Statistical educational background to at least master's (MSc) level in a quantitative subject.
- Significant experience of working in a Model Validation or Front Office Quant role.
- Strong analytical skills.
- Programming experience in C++ and/or Python including library architecture design.
- Excellent written and oral communication skills with an ability to communicate quantitative models in a clear and concise manner.
- Theoretical understanding and familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation.
- Ability to work independently to deadlines and under time pressure.