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Model Validation Quantitative Manager

  • Location: London
  • Salary: £70,000 – £100,000 (+6k Car) per year
  • Job Type:Permanent

Posted 4 days ago

(London flexible with home working)

Job Description:

Fantastic opportunity to join a growing team that are driven and passionate about analytics. A successful candidate will perform and manage the validation of the counterparty credit risk models, and the submission of models to approval committees in accordance with the firm model risk policies and governance.

Responsibilities Include:

• Validation of the Counterparty Credit Risk (PFE, XVA, SIMM, etc) models,

identifying deficiencies and raising recommendations for mitigation.

• Continually improve model risk management and controls, with a focus on the counterparty credit risk models

• Reviewing and producing technical documentation describing model development, implementation and use, whilst assessing adherence to the relevant regulatory environment

• Ensuring that models are fit for purpose in accordance with company strategy and aims, and presenting validation findings to approval committees

• Identifying synergies between the different validation tasks (e.g. counterparty credit risk and margining) to effectively manage and optimise the team’s work

• Developing and implementing validation tools and models for the Internal Validation Team library.

Key Experience Required:

• Strong technical background gained in a model development or validation role, coupled with a solid understanding of financial markets and products.

• A working knowledge of Python, C++, Latex, GitLab, in addition to a PhD/MSc in a quantitative field such as Mathematics, Physics, Computer Science or Engineering.

• Experience in using strong business knowledge and technical expertise to turn model output into sound business information

• Knowledge of regulatory compliance requirements such as Basel III, SA-CCR, FRTB-CVA, SS3/18

• Familiarity with ML and AI tools and techniques

Please note, should feedback not be received within 28 days due to the large volume of applications, unfortunately, your application has been unsuccessful. However, we may be in touch with similar relevant opportunities.

If you would like this job advertisement in an alternative format, please contact marketing@merje.com.