XVA Model Validation Specialist - AVP

Recruiter
Morgan McKinley
Location
London, United Kingdom
Salary
Competitive
Posted
27 Nov 2022
Closes
12 Dec 2022
Ref
17925287
Job Function
Compliance/Regulatory
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Summary
  • London
  • Permanent
  • BBBH822079
  • Oct 25, 2022
  • Competitive

Job Description
Global investment bank seeks an AVP level Quant Analyst as part of its expanding Model risk function Review and analyse XVA models for pricing and risk-management

You will be part of the Model Risk team which provides oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. MoRM is responsible for the review and analysis of all end of day pricing and XVA models used for valuation and risk across the Bank.

Your key responsibilities:
  • Review and analyse XVA models for pricing and risk-management which include components in interest rates, Foreign Exchange (FX), equity, credit and commodities
  • Understand the mathematical models and implementation methods used, where appropriate, verify models and numerical schemes for pricing in the validation library
  • Communicate outcomes of your review and analysis with key model stakeholders including front office trading, front office quants, market risk managers and finance
  • Actively engage with the due diligence aspects of the new model approval process and Bank wide strategic initiatives
  • Work on enhancements to the XVA Python validation library

Your skills and experience
  • Educated to Masters/ Doctor of Philosophy (Ph.D.) level or equivalent qualification/ relevant work experience in a numerate subject such as Mathematics, Physics or Engineering
  • Some experience in a model validation or front office quant role
  • Excellent mathematical abilities and an understanding of stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods and numerical algorithms
  • High standard in object-oriented programming to contribute to a shared library (predominantly in Python but knowledge of C++ would be an advantage)
  • Excellent communication skills, both written and verbal

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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