Pricing Model Validation Lead

5 days ago

London, Greater London, United Kingdom ICBC Standard Bank Full time

About the Role

We are seeking a highly skilled Pricing Model Validation Lead to join our team at ICBC Standard Bank.

Key Responsibilities

  • Develop and maintain advanced pricing models for various asset classes, ensuring accuracy and compliance with regulatory requirements.
  • Collaborate with cross-functional teams to design and implement model validation frameworks, leveraging expertise in stochastic calculus, numerical analysis, and programming languages such as C++.
  • Conduct in-depth reviews of pricing models, identifying areas for improvement and implementing corrective actions to ensure model integrity.
  • Provide expert guidance on model risk management, ensuring that ICBC Standard Bank's pricing models align with industry best practices and regulatory expectations.
  • Stay up-to-date with market developments, regulatory changes, and emerging trends in pricing model validation, applying this knowledge to enhance our model validation capabilities.

Requirements

  • Master's or PhD degree in a quantitative field such as mathematics or physics.
  • Strong experience in validating pricing models, with advanced modeling expertise in XVA, FX, rates, credit, or commodities.
  • Excellent academic credentials, with a strong academic record and a proven track record of research and publication in relevant fields.
  • Proficiency in Excel and C++ programming languages, with experience in using Murex.
  • Excellent written and verbal communication skills, with the ability to work independently and collaboratively as part of a team.
  • Flexibility to adapt to changing priorities and deadlines, with a strong focus on delivering high-quality results.

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