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Anlayst, Model Validation
5 months ago
Requisition ID
34075
Office Country
United Kingdom
Office City
London
Division
Risk Management
Contract Type
Short Term
Contract Length
12 months
Posting End Date
14/11/2023
Purpose of Job
Under the supervision of the Associate Director, Model Validation, the Analyst contributes to the reviews and validations of quantitative models used to support Treasury, Risk Management and Controllers activities including recording of Treasury trades, valuation of collateral, measurement of market and credit risk, as well as assessment of economic capital utilisation.
Background
Model Validation is a function within Risk Policy & Analytics unit of the Risk Management department. The function is responsible for validation of quantitative models developed in-house and by external vendors for the purpose of financial reporting and calculation of key risk metrics. Strong, independent and competent model validation function is a necessary component of the assurance process supporting financial reporting and key element in mitigating model risk. The models reviewed and approved by the function cover: (i) construction of derived market data, (ii) measurement of market, credit and liquidity risk, (iii) measurement of economic capital and (iv) valuation of financial assets of the Bank for the propose of financial reporting.
Facts / Scale
No direct reports or budgetary responsibility
Working on different model validation backlog items under the supervision of Principal and/or Associate Director, Model Validation.
Key internal clients/relationships: Treasury, Controllers, other teams in Risk Management.
Accountabilities & Responsibilities
Contribute to annual review of market data inputs into models, by ensuring chosen data feed correctly into the appropriate systems.
Participate in the model validation of internally developed quantitative models with guidance from Principal and/or Associate Director, Model Validation. This should involve code review, error trapping and recovery.
Contribute to the review of new pricing codes, including consistency checks, verification of P&L explanations, validation of numerical methods used, payoff-function, etc
Knowledge, Skills, Experience & Qualifications
Masters in finance, maths or the sciences.
Strong analytical skills.
Ability to explain complex quantitative concepts in an accessible way and proven English language drafting skills.
Familiarity with options pricing theory, stochastic processes, Monte Carlo simulation.
Basic understanding of major capital markets instruments across asset classes, notably with respect to derivatives (including credit derivatives and hybrids).
Familiarity with any of the following: C++, Python, Matlab, R.
At least Internship experience in the same sector.
Competencies & Personal Attributes
Good communication and inter-personal skills with the ability to apply this across levels and functions.
Ability to work to deadlines and under time pressure.
Ability to think strategically and implement accordingly.
Attracted to the multi-cultural environment of EBRD as well as to the mission of the Bank with its challenges and opportunities.
What is it like to work at the EBRD?
Our agile and innovative approach is what makes life at the EBRD a unique experience You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people's lives and help shape the future of the regions we invest in.
The EBRD environment provides you with:
- Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in;
- A working culture that embraces inclusion and celebrates diversity;
- An environment that places sustainability, equality and digital transformation at the heart of what we do.
Diversity is one of the Banks core values which are at the heart of everything it does. A diverse workforce with the right knowledge and skills enables connection with our clients, brings pioneering ideas, energy and innovation. The EBRD staff is characterised by its rich diversity of nationalities, cultures and opinions and we aim to sustain and build on this strength. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. As an inclusive employer, we promote flexible working and expecting our employee to attend the office 50% of their working time.
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