Pricing Model Validation Sme

4 weeks ago


London, United Kingdom eFinancialCareers Full time

Hamlyn Williams has partnered with a UK bank with a global presence across Europe and the United States. They are one of the most recognised banking institutions who provide retail and banking services to consumers and businesses internationally. HamlynWilliams is supporting the expansion of their Quant function and as a result are looking for a highly motivated individual to join their Pricing Model Validation team.

**Responsibilities**:

- Responsible for the independent review and analysis of the derivative pricing models used for valuation and risk.
- Develop and benchmark pricing models in an independent code library (C++ or Python)
- Understand the mathematical models used and their implementation methods
- Qualitative analysis and stress testing of models needed for pricing and/or risk calculation.
- Conducting the annual review for pricing models
- Undertaking algorithmic trading validation work according to MiFID regulation
- Undertaking trade surveillance validation work needed by FCA regulation
- Crafting model reserves and calculate model risk AVAs
- Reviewing the Prudential Valuation adjustments including reserves

Required Competencies:

- Degree in Statistics, Mathematics, Econometrics, Physics, Engineering or equivalent (Masters level or above)
- Experience working in a Model Validation or Front Office Quant role (essential)
- Programming experience in C++ and/or Python
- Theoretical understanding and familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation
- Able to communicate quantitative models in a clear and concise manner


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