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Our client is seeking a highly knowledgeable and dependable Senior Manager for Pricing Model Validation. This role is an integral part of the Model Validation team, acting as the second line of defence on model risk and validating models used within the organisation. The successful candidate will have the opportunity to work in a dynamic environment, collaborating with various stakeholders and oversight bodies.
What you'll do:
As a Senior Manager for Pricing Model Validation, you will play a pivotal role in ensuring the robustness of our client's financial models. Your day-to-day responsibilities will include validating cross-asset class front office pricing and XVA models, assessing their conceptual soundness and implementation accuracy. You will also be tasked with independently developing scalable and modular benchmark models. In addition to these responsibilities, you will prepare comprehensive model validation reports in compliance with regulatory standards such as SS 1/23. Your role extends beyond just validating front office pricing and XVA models; you will also participate in enhancing the overall model risk management framework.
- Validate cross-asset class front office pricing and XVA models.
- Assess models for conceptual soundness and implementation accuracy.
- Independently develop scalable and modular benchmark models.
- Prepare model validation reports in compliance with regulatory standards.
- Participate in the validation of models beyond front office pricing and XVA models as needed.
- Collaborate with stakeholders to enhance the overall model risk management framework.
- Perform model risk management processes, including risk quantification, monitoring, and periodic validation.
What you bring:
The ideal candidate for this Senior Manager position brings extensive experience in validating pricing models along with advanced modelling skills across various asset classes. You possess excellent academic credentials, preferably a PhD in a quantitative field such as mathematics or physics. Your deep understanding of pricing models, stochastic calculus, stochastic processes, and numerical analysis sets you apart from others. Proficiency in Excel and C++, coupled with strong written and verbal communication skills are essential for this role. Experience with Murex would be beneficial but not mandatory.
- Excellent academic credentials, preferably a PhD in a quantitative field such as mathematics or physics.
- Extensive experience in validating pricing models.
- Advanced modeling experience with at least one of XVA, FX, rates, credit, or commodities.
- In-depth knowledge of pricing models, stochastic calculus, stochastic processes, and numerical analysis.
- Proficiency in Excel and C++.
- Strong written and verbal communication skills; ability to work independently.
What sets this company apart:
Our client is a leading global financial institution, renowned for its commitment to innovation and excellence. They offer a dynamic and inclusive work environment that fosters collaboration and continuous learning. The organisation is committed to providing flexible working opportunities and generous pensions contributions, making it an ideal place for those seeking growth and development in their careers.
Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates
