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.
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
Contribute to establishing LSEG model governance framework
Assist risk and business management in all aspects of model risk
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
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.