Senior Manager - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

1 week ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Hamlyn Williams has partnered with a global consulting practice, that are actively supporting their Tier 1-3 banking clients across Market Risk and Counterparty Credit Risk projects.

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)
At least 5 years experience in Market Risk Modelling techniques (VaR, IMA, FRTB)
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