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This role is based in the United Kingdom and as such all normal working days must be carried out in the United Kingdom.
Job Description
Join us as a Pricing Model Validation Quantitative Analyst
* In this key role, you'll review and independently validate assigned models, with a focus on pricing models, in accordance with the bank's model risk policy and risk appetite
* You'll apply your expertise in advanced quantitative modelling techniques, gained through business experience or applied academic research
* Communicating findings and recommendations effectively to stakeholders, you'll ensure models remain suitable for their intended purpose
* You'll contribute to the development of the team's analytics codebase by adding functionality, fixing issues, and testing code
* You'll assess Prudential Valuation and Model Risk Valuation Adjustment methodologies
What you'll do
You'll be conducting thorough quantitative analysis to assess whether models are appropriate for their designated use, and ensure significant model risks are identified and effectively communicated to senior management and model end-users.
You'll challenge existing models and their applications where necessary, and develop alternative models based on rigorous quantitative analysis.
Your responsibilities will also include:
* Performing model risk analysis to satisfy regulatory queries and requirements
* Developing solutions to automate validation activities
* Reviewing colleagues' analysis, code, and reports
* Supporting and mentoring junior members of the team
The skills you'll need
We're looking for you to have a postgraduate degree at least to Master's level, in a highly quantitative subject such as Mathematics, Physics, Statistics, or Quantitative Finance.
You'll have a strong combination of problem-solving and analytical skills, along with the ability to simplify complex concepts to ensure senior management understands key model risk issues.
We'll also expect:
* Expertise in complex quantitative modelling and analysis, gained through experience in banking or other financial institutions, or through applied academic research
* Familiarity with financial markets and financial products
* Hands-on programming experience in C++ and/or Python
* The ability to work independently and manage multiple projects under demanding deadlines
* Excellent written and verbal communication skills