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Model Validation Senior Manager - Commodities / Equities /FX

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH779408
  • Apr 08, 2021
  • Competitive
Job Description

Global international Exchange group seeks a Senior Manager level Model Validation Quant as part of its expanding Risk Analytics function. Model coverage includes Commodity Derivatives and Equities.

As the Group's operations grow in footprint and complexity, Group Risk is expanding its Model Risk

Management Validation function.

Quantitative Risk Analyst will work on conducting the validation and independent review of Pricing
and Risk models across the firm to provide independent assurance that the covered models are fit for
purpose. Key areas of coverage are:
- Commodity Derivatives, Commodity supply and demand models, FX models
- Risk margining models and pricing tools for the Group's exchange platforms.

Responsibilitiess

 Validate derivatives pricing models in the areas of Commodities and Equities
 Validate Commodity demand and supply models
 Validate relevant risk model components e.g. margin models, VaR
 Develop benchmark models
 Contribute to all aspects of model risk control; identify model issues, design risk's own ongoing
performance assessment, provide high quality model validation documentation and model risk
reporting
 Contribute to establishing LSEG model governance framework
 Assist risk and business management in all aspects of model risk

Experience

 PhD or MS degree in Applied Mathematics, Finance, Statistics, Physics, Engineering or similar
 10+ years of strong quant experience with Commodity/EQ/FX
 Prior experience in Power and Gas, ideally in renewables, is an advantage
 Good understanding of risk models
 Good coding skills within a professional environment (Python, R, C/C++, SAS)
 Working experience with Yield Book models and familiarity with Eikon is a plus
 Strong analytical and problem-solving skills, good attention to detail. Solid writing skills
 A natural inclination to challenge established ways of thinking and an ability to articulate your
opinion

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
  • + 44 20 7092 0103
  • ariedl@morganmckinley.com