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Credit & Securitisation Pricing Model Validation - AVP

eFinancialCareers
Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

Job Summary

  • London
  • Permanent
  • BBBH835170
  • Nov 24, 2022
  • Competitive
Job Description Global investment bank seeks an AVP level Quant Analyst as part of its expanding Pricing Model Validation team to assess, analyse and test credit derivative and securitisation models for pricing Model Risk Management (MoRM) provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk, and stress testing results. MoRM is responsible for the reviewand analysis of all pricing models used for valuation, risk management and regulatory risk reporting. As a Quantitative Analyst your responsibility will be to assess, analyse and test credit derivative and securitisation models for pricing, risk management and regulatory stress testing. Review and analysis require deep understanding of the mathematical modelsused, implementation methods, products traded in these markets, and the associated risks that are inherent from trading these products. Your key responsibilities
  • Document test results in a model validation report to be reviewed by regulators and which will form the basis of discussion with key model stakeholders including Front Office Trading, Model Developers, Market Risk Managers, and Finance Controllers
  • Active participation in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation
  • Communication of validation results
  • Engaging with the due diligence aspects of the New Product Approval Process
Your skills and experience
  • Educated to Doctor of Philosophy (PhD) or Master of Sciences (MSc) level or equivalent qualification/work experience in a numerate subject, such as Mathematics, Financial Mathematics, Physics or Statistics
  • Experience and understanding in a Model Validation, Front Office Quant role or other relevant quantitative finance role
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte Carlo Methods, and Numerical Algorithms
  • A deep understanding of derivatives pricing models and a strong interest in financial markets demonstrated by qualifications and experience
  • Prior knowledge of and experience with Credit derivative/securitisation models 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.

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