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Pricing Model Validation Quant AVP

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH773516
  • Mar 29, 2022
  • Competitive
Job Description

Global investment bank seeks an AVP level Model Validation Quant to cover cross asset traded risk pricing models. Role involves complex modelling.

The team is responsible for the quantitative review and challenge across pricing models, market risk models, counterparty credit risk models and finance models .

The role holder will be primarily responsible for performing and documenting analysis and testing of pricing models primarily with some exposure to risk models. ,

Key Accountabilities

  • The role holder will be responsible for performing and documenting analysis and testing of pricing models, as well as performing and documenting reviews of other model types, including finance models, when required.
  • The role holder will be expected to assist in the timely delivery of valuation model uncertainty analysis for quarterly model risk reporting, when required.
  • The role holder will be expected to contribute toward the continuous improvement in efficiency and effectiveness of the processes that they are involved in.
  • The role holder will have a highly rational & logical thought process with a strong attention to detail.
  • The role holder will be expected to solve complex problems, both quantitative and qualitative in nature.
  • Role offers exposure to a wide range of asset classes

Key skills

  • The ideal candidate will have a postgraduate level education in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance.
  • The ideal candidate will have proven ability to understand several pricing modelling approaches and their strengths and weaknesses as well as performing and documenting quantitative testing and analyses.
  • The ideal candidate will have programming experience, for example Python, C++.
  • The ideal candidate will have strong verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances.
  • The ideal candidate will be a team player with excellent communication skills who is comfortable working against tight short-term deadlines in a dynamic environment.
  • The ideal candidate will have a strong desire to learn and add value wherever possible.
  • The ideal candidate will have a highly rational & logical thought process with a strong attention to detail.

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