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Interest Rates Model Validation - Director

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH812206
  • Apr 05, 2022
  • Competitive
Job Description

Global exchange seeks a Senior Manager level Model Validation Quant to cover a Rates suite of models and Fixed income pricing and curve construction models.

As the Group's operations grow in footprint and complexity, Group Risk is expanding its Model Risk Management Validation function. Model Risk has oversight of a diverse array of model types across all asset classes.
The Senior Manager will work on conducting the validation and independent review of Pricing and Risk models across the group to provide independent assurance that the covered models are fit for
purpose. Key areas of coverage are:
- Rates suite of models underlying Heritage Refinitiv (Price It Library) and Heritage
(Yield Book)
- Fixed Income pricing and curve construction models, risk margining models and pricing
tools for the Group's exchange platforms.

Lead structured and flow rates model validation underlying Refinitiv Eikon platform, Yield Book
rates models integrated into mortgage analytics
 Review and validate curve construction models across the group
 Communicate with senior management all issues relevant to rates models
 Support junior validation team in Bucharest on rates projects
 Develop benchmark models for rates models
 Assess mathematical and technical considerations in models and quantitative methods
 Identify and escalate risks and issues identified
 Effectively document the testing and conclusions
 Assist risk and business management in all aspects of model risk
 Create Model Validation deliverables: reports, notes, findings

Key skills

 PhD or MS degree in Applied Mathematics, Finance, Statistics, Physics, Engineering or similar.
years' experience in a Model Validation, Front Office Quant or Risk Quant role in rates product.
 10+ years of strong quant experience with rates; interest rates pricing models and interest rate
curve construction methodologies
 Good coding skills within a professional environment (Python, R, C/C++, SAS)
 Theoretical understanding and familiarity with derivative pricing and statistical models
 Strong analytical and problem-solving skills, good attention to detail. Solid writing skills.
 Working experience or exposure to Eikon, Yield Book is a plus
 Knowledge of commodities fundamental models is a plus
 Knowledge of AI/ML models is a plus

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.

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Consultant Details

Consultant Details

Alex Riedl
Alex Riedl
  • Principal Consultant | Risk Management Recruitment
  • +44 (0)20 7092 0103
  • ariedl@morganmckinley.com