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The team is responsible for independently validating the quantitative financial models that are used in the Bank. The role is a manager grade position in the Counterparty Credit Risk validation team . The successful candidate will be responsible for validating individual models under the guidance of the head of the team. The work will involve theoretical mathematical analysis, model implementation and coding and documentation of the work for management review.
Key Roles & Responsibilities
Review and validation of CCR derivative pricing models (Sungard Library), focussed on OTC and ETD products including other components of IMM framework i.e. Back Testing, WWR, Margining and Collateral.
Implementation of benchmark models in Python, C++ and other programming language.
Development of alternative models and methodologies in order to assess model risk.
Writing technical validation report to the best standards
Day to day support of stakeholders in all model related questions.
Liaise with Counterparty Credit Risk Modelling Team, front office quantitative analysts/validation team, Model Monitoring team and other Traded Risk committees to present technical validation report.
Knowledge of financial mathematics, derivative pricing, collateral and initial margin knowledge, model monitoring
Knowledge of stochastic calculus, financial mathematics for derivatives pricing, and associated numerical methods, e.g. Monte Carlo, PDEs and numerical integration.
Experience of implementing large projects in Python, C++ or Haskell.
Experience in CCR and IMM modelling.
Sound judgement in assessing the strength and weaknesses of modelling approaches.
Strong communication skills and ability to work effectively as part of a Global Team and to liaise with key stakeholders. Fluency in written and spoken English.
Strong writing skills with an ability to consistently produce precise, accurate and concise documentation.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.