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Senior Model Validation - Rates/FX/Commodities

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

Job Description

An outstanding opportunity join us as a senior Model Validator in the Model Risk Management (MRM) team. MRM has a mandate to review and approve the models used in the bank in order to make sure that the risk due to the model limitations and assumptionsis properly managed and mitigated. As part of the Macro model validation team, you will focus on the validation of FX and Commodities pricing models. As a senior model validator, you will manage independent validation reviews performed by yourself or morejunior team member covering the following: Review the mathematical foundation of the model, assessing the correctness of the model equations and theory. Develop alternative benchmarks, design backtesting or other methodologies to test the conceptual soundnessmodel assumptions. Assess if the model is implemented correctly, via independent re-implementation of the model in spreadsheets or coding language (Python) Test the model sensitivity to changes to the inputs and stability.You will liaise with the other businesspartners within the Firm, including Front Office Quants, Trading, Market Risk, Product Control for the model validation process and for the approval of new trades. We are looking for:Proven experience in quantitative modelling for FX/Commodities models, asa model validator, front office quant or similar roles. Proven background in quantitative topics, via Masters or PhD in a quantitative field, e.g. Mathematics, Physics, Engineering, Finance, Economics.

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