- London, England, United Kingdom
- Permanent, Full time
- Standard Chartered Bank
Model Validation Quantitative Analyst
- Location: London, England, United Kingdom
- Salary: Competitive
- Job Type: Full time
Model Validation Quantitative AnalystAbout Standard Chartered
We are a leading international bank focused on helping people and companies prosper across Asia, Africa and the Middle East.
To us, good performance is about much more than turning a profit. It's about showing how you embody our valued behaviours - do the right thing, better together and never settle - as well as our brand promise, Here for good.
We're committed to promoting equality in the workplace and creating an inclusive and flexible culture - one where everyone can realise their full potential and make a positive contribution to our organisation. This in turn helps us to provide better support to our broad client base.
The Role Purpose
Quantitative Model Risk, QMR, is responsible for independently validating valuation models used for the books and records of the Group, for official risk reporting and for use in stress testing. This role will focus on the validation of the derivatives pricing models, and an assessment of the associated model risk. There will be a focus on Credit and XVA. It will be at Grade 6 level.
The Role Responsibilities
- Review and validation of front office derivative pricing models, focussed on Credit and XVA models.
- Implementation of benchmark models (C++) and testing scripts (Haskell).
- Development of alternative models and methodologies in order to assess model risk.
- Day to day support of stakeholders in all model related questions.
- Liaise with trading, front office quantitative analysts and developers, and market risk and valuation control analysts, to ensure speedy review and validation of new models and methodologies.
- Consulted on all aspects of work carried out by QMR.
People and Talent
- Consulted on aspects of maintaining a team with high proficiency for identifying and quantifying model risk. For example, by performing interviews.
- Consulted on all aspects of risk management that fall within QMR's remit.
- Consulted on all aspects of governance that fall within QMR's remit.
Regulatory & Business Conduct
- Display exemplary conduct and live by the Group's Values and Code of Conduct.
- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
- Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
- Embed Here for good and the Group's brand and values in QMR
- Perform other responsibilities assigned under Group, Country, Business or Functional policies and procedures.
Our Ideal Candidate
We are looking for someone who has the following skills and experience:
- Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics or physics. A PhD is preferred.
- Knowledge of mathematics, particularly statistics.
- Knowledge of stochastic calculus, financial mathematics for derivatives pricing, and associated numerical methods, e.g. Monte Carlo, PDEs and numerical integration.
- Experience in XVA (CVA, FVA) and credit modelling.
- Experience of implementing large projects in C++ or Haskell.
- Sound judgement in assessing the strength and weaknesses of modelling approaches.
- Strong communication skills and ability to work effectively as part of a Global Team and to liaise with key stakeholders.
- Fluency in written and spoken English.
- Strong writing skills with an ability to consistently produce precise, accurate and concise documentation.
Apply now to join the Bank for those with big career ambitions.