Senior Manager, Pricing Model Validation Expert

2 months ago


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

About the Role

We are seeking a highly skilled Senior Manager, Pricing Model Validation to join our team at ICBC Standard Bank. As a key member of our Pricing Model Validation team, you will be responsible for ensuring the accuracy and integrity of our pricing models.

Key Responsibilities

  • Develop and implement advanced pricing models to ensure compliance with regulatory requirements and internal policies.
  • Collaborate with cross-functional teams, including trading, risk management, and IT, to design and implement pricing models.
  • Conduct thorough reviews and validation of pricing models to ensure accuracy and integrity.
  • Provide expert guidance and support to junior team members on pricing model development and validation.
  • Stay up-to-date with industry developments and regulatory changes to ensure our pricing models remain compliant and effective.

Requirements

  • Master's or PhD degree in a quantitative field such as mathematics or physics.
  • Strong experience with validating pricing models, with advanced modelling experience in XVA, FX, rates, credit, or commodities.
  • In-depth knowledge of pricing models, stochastic calculus, stochastic processes, and numerical analysis.
  • Excellent working experience in Excel and C++.
  • Experience with Murex is beneficial.
  • Good written and verbal communication skills, with the ability to work independently.
  • Flexibility to adapt to changing day-to-day priorities while achieving longer-term project-based deadlines.


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