An excellent Senior Risk Manager opportunity has arisen for a highly motivated individual to join the Risk Science Office - Market and Liquidity Risk team.

This is an exciting opportunity to be part of a dynamic team in a changing and complicated environment, which offers considerable scope for personal development.

In this rare and impactful role, you'll be joining the Pricing Model Validation team within the Methodology and Models team which covers the pricing, counterparty credit, and market risk measurement modelling.

Job Description

• The team is responsible for the independent review and analysis of the derivative pricing models used for valuation and risk.
• We also cover equity investment and real estate valuation models.
• You'll develop and benchmark pricing models in an independent code library using either C++ or Python, provide theoretical analysis and review of pricing models across asset classes understanding the mathematical models used and their implementation methods.
• You'll also provide qualitative analysis and stress testing of models needed for pricing and/or risk calculation.
• Conduct the annual review for pricing models.
• Undertake algorithmic trading validation work according to MiFID regulations.
• Undertake trade surveillance validation work needed by FCA regulation.
• Crafting model reserves and calculate model risk AVAs.
• Reviewing the Prudential Valuation adjustments including reserves.

Who are You?

• Significant Quantitative background.
• A Statistical education background to at least master's (MSc) level in a quantitative subject.
• Significant experience of working in a Model Validation or Front Office Quant
• Strong analytical skills.
• Programming experience in C++ and/or Python including library architecture design.
• Excellent written and oral communication skills with an ability to communicate quantitative models in a clear and concise manner.
• Theoretical understanding and familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation.
• Ability to work independently to deadlines and under time pressure.

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