Model Validation Manager - VP

6 days left

Recruiter
Alexander Ash Consulting
Location
London, United Kingdom
Salary
100000
Posted
14 Jul 2022
Closes
13 Aug 2022
Ref
14934224
Job Function
Banking
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Your key responsibilities
  • Supervision and management of junior reports supervising and reviewing their validation work.
  • Responsibility for the specification and implementation of group policy and regulatory requirements for Delta EVE IRRBB modelling.
  • 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
  • Collaborating in the development and maintenance of an internal Python library to improve the efficiency of testing and documentation

Your skills and 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
  • An understanding of regulatory requirements and audit oversight for valuation/Treasury modelling an advantage.

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