The team is based in a centralized Risk function where you will gain exposure to a number of different areas of the bank. The main focus with the team is to support the FX and Interest rates business.
The role sits in the modelling and methodologies team in London. Our role is focus on Linear Interest Rate Products (IR Swaps and Basis Swaps), Single Currency Interest Rate Options (Swaptions and CapFloors, Callable Libor Exotics, Spread Option, etc), IR Hybrids Exotics (PRDC and other long-dated FX options, IR/Credit hybrids, etc), Short-dated FX products and Emerging Market products. The successful candidate will report to the Global head of IR/FX, and Emerging Markets.
These responsibilities include:
- Validate models developed by Front Office and compliance to Basel III.
- Establish a framework for Independent price testing for all products and their hedges
- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated. Prepare validation report and technical documents for the model being validated.
- Engineering of independent price testing methodologies for new products and on-going review of existing ones
- Review of valuation methodologies underlying model and liquidity reserves
- Assessment of new model and analytics implementations
- Approval of Front Office marking methodologies and valuation adjustments for product/model combinations
- Approver in the Valuation Model Governance framework, focusing on the appropriateness of market data and its use in the model calibration and valuation adjustment methodologies, as well as on their adequacy to achieve fair value for each product.
The successful candidate will have experience within a leading investment banks and ideally have had experience in a quantitative team. - PhD or M.Sc. in a quantitative discipline, such as mathematics, physics, engineering or other related technical field.