Model Validation Manager - VP

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.