Traded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, algo trading models, market and counterparty credit risk of derivatives spanning all asset classes. This opportunity is for a validator to perform model validations, build benchmark models and conduct testing and develop standardised model testing frameworks
The role sits within the Credit Pricing and Algo Trading validation team focused on Credit Pricing and Algo-trading Models. The role is expected to conduct validations across Credit Algo-trading Models. The role requires collaborative working both across the local team in the UK and globally with validators in Poland, Singapore HK and the US.
Key Responsibilities
* Perform validation of Credit Algo-trading models by verifying conceptual soundness, methodology and implementation and by identifying and assessing limitations and uncertainties.
* Assess and opine on model risk across range of credit pricing models and credit Algo trading models.
* Issue technical validation reports and recommendations and advise stakeholders about the conceptual soundness, the technical soundness, and the empirical soundness of the models.
* Liaise with model developers, Trading, Risk managers and Valuation control teams and provide guidance on model risk.
* Communicate validation outcome and findings to key stakeholders and management.
Skills and Experience
* Practical knowledge of fixed income and credit markets required with understanding of market practice and market drivers for trading in bonds, CDS, TRS, Asset Backed Securities and REPOs.
* Hands‑on experience with large data sets, ideally data used for trading: Request for Quotes; Trade information; prices; etc.
* Experience in Market Risk Metrics such as VaR/sVaR backtesting.
* Familiarity with e‑Pricing platforms.
* Experience with credit and Fixed Incomes pricing models.
* Proactivity and self‑motivation.
* Strong writing skills with ability to present conclusions and recommendations from technical projects to a less technical audience.
* Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders.
* Fluency in written and spoken English.
* Ability to challenge the proposed methodologies and to provide alternative solutions.
Qualifications
* Strong quantitative background, Advanced degree (PhDs, Masters or equivalent) in highly numerical subject such as mathematics, physics, engineering or mathematical finance.
* Direct experience in either a model validation or model development role covering pricing, or risk modelling for derivatives.
* Practical knowledge of optimisation, statistics and machine learning (e.g. time series analysis, classification, supervised and unsupervised learning) and applications in finance.
* Experience in using Python and in scientific programming & data visualisation (Pandas, Numpy, Scikit‑learn, TensorFlow...).
* Ability to Analyse and assess model risk by performing quantitative and qualitative reviews of the selected models.
What we offer
* Core bank funding for retirement savings, medical and life insurance, with flexible and voluntary benefits available in some locations.
* Time‑off including annual leave, parental/maternity (20 weeks), sabbatical (12 months maximum) and volunteering leave (3 days), along with minimum global standards for annual and public holiday, which is combined to 30 days minimum.
* Flexible working options based around home and office locations, with flexible working patterns.
* Proactive wellbeing support through Unmind, a market‑leading digital wellbeing platform, development courses for resilience and other human skills, global Employee Assistance Programme, sick leave, mental health first‑aiders and all sorts of self‑help toolkits.
* A continuous learning culture to support your growth, with opportunities to reskill and upskill and access to physical, virtual and digital learning.
* Being part of an inclusive and values driven organisation, one that embraces and celebrates our unique diversity, across our teams, business functions and geographies - everyone feels respected and can realise their full potential.
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