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Alexander Ash Consulting

Model Validation Manager - VP

Alexander Ash Consulting
London, United Kingdom
Posted 3 days ago Hybrid Permanent 100000
A
Posted by
Anushree Singh
Recruiter
Model Validation as part of Model Risk Management is responsible for the review all derivative pricing models used for valuation and risk across the bank. As a Quantitative Analyst will be responsible for the review and analysis of all Treasury pricing models used for valuation, risk management and regulatory risk reporting, in particular Interest Rate Risk in the Banking Book (IRRBB) (Delta Economic Value of Equity (EVE)) calculation

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.
Job ID  ModelVAl
ABOUT COMPANY
London, United Kingdom
HR & Recruitment
We exist to provide an exemplary quality of service to those who partner with us via our close-knit, long-term relationships.We facilitate access to t...
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