Treasury Pricing Model Validator - VP
- BBBH790354 Jan 10, 2022 Competitive
Global investment bank seeks a VP level Model Validation Quant responsible for the review and analysis of all Treasury pricing models used for valuation, risk management and regulatory risk reporting,
The Model Risk Management team provides oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress testing results. You will be responsible for the review and analysis of all Treasury pricing models used for valuation, risk management and regulatory risk reporting, in particular Interest Rate Risk in the Banking Book (IRRBB) (Delta Economic Value of Equity (EVE)) calculation.
Your key responsibilities
- Assessing, analysing and test derivative models for pricing, risk management and Delta EVE calculation for IRRBB of Treasury products
- Testing pricing models for the purpose of end of day pricing and regulatory scenario stress testing
- Documenting test results in a model validation report
- Collaborating in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation
- Engaging with the due diligence aspects of the New Product Approval Process, and oversight of model governance for Treasury products
Your skills and experience
- Educated to Bachelor's degree level or equivalent qualification/relevant work experience
- Experience in a Model Validation, Front Office Quant role or other relevant quantitative finance role
- A deep understanding of derivatives pricing models and a strong interest in financial markets demonstrated by qualifications and experience
- Understanding of and experience with Treasury models for savings deposits, residential mortgages and consumer and business loans
- Experience of coding in a managed codebase, familiarity with code versioning systems, project management systems, unit testing, Python scripting is an advantage
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.
Principal Consultant | Risk Management Recruitment
+44 (0)20 7092 0103