Model Risk Management (End of Day Pricing Model Validation). The team is responsible for the Validation of Pricing models used in production by the Investment Banking trading desk. It covers all asset classes. In addition, the team is responsible for the validation of other models, like Reserve Methodologies, Fair Valuation Adjustments, the Liquidity Reserve Modelling etc.
Your key responsibilities
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Review and analyse mathematical assumptions of models used in Pricing Interest Rate Derivatives.
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Review implementation methods, products traded in the IR markets, and the associated risks.
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Responsible, where appropriate, for the review of models/payoffs of products independently implemented in a managed library. Python is usually used for testing. Prior knowledge of that would be helpful.
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The outcome of review, analysis and independent implementation forms the basis of discussion with key model stakeholders including Front Office Trading; Front Office Quants; Market Risk Managers.
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Additional responsibilities include active engagement with the due diligence aspects of the New Product Approval Process and involvement in bank wide strategic initiatives.
Your skills and experience
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Educated to Bachelors degree level or equivalent qualification/relevant work experience, a Doctor of Philosophy (PhD) qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics would be beneficial
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Codding skills would be preferrable.
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Previous work experience in related subjects would be preferrable.
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Ability to communicate within the team and the stakeholders
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
Morgan McKinley encourages applications from all qualified candidates who represent the full diversity of communities in the UK. Accommodations are available on request for candidates taking part in all aspects of the selection process.
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.
