Quantitative Finance Modeling Specialist
3 weeks ago
In this role, you will conduct complex modeling projects to validate and improve the bank's risk management systems. You will work closely with stakeholders to ensure accurate results and identify potential model risks.
Responsibilities- Validate XVA and Counterparty Credit Risk system models developed by Quantitative Strategy Group and Global Risk Analytics.
- Review underlying assumptions, theory, derivation, empirical evidence, implementation, and limitations of the models being validated.
- Perform independent testing to identify/quantify model risk associated with the models being validated.
- Maintain a sub-portfolio of model inventory and perform annual model reviews, ongoing monitoring reviews, Required Actions Items closure, and other tasks.
- You will possess a PhD in quantitative fields such as mathematics, statistics, physics, econometrics, or computer science OR have a Master's degree in same fields with seasoned industry experience.
- You will have a deep understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modeling.
- You will have demonstrable experience in developing Pricing Models or Counterparty Risk Models.
- This is a challenging role that requires strong analytical skills and attention to detail. You will be part of a team that is dedicated to improving the bank's risk management systems.
- The salary for this position is estimated to be around £80,000 - £120,000 per annum, depending on experience. This is a competitive package that includes private healthcare, pension plan, life assurance, group income protection cover, and other benefits.
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