Eames Consulting is currently partnered with an Investment Bank in London, searching for a Pricing Model Validation Quant to join their Pricing Model Validation Team within Model Risk management.
The Traded Risk Models team is responsible for the quantitative review and challenge across pricing models, market risk models, counterparty credit risk models and finance models and is part of the wider Model Risk Management team.
Responsibilities include (but not limited to):
- The role holder will be responsible for performing and documenting analysis and testing of pricing models, market risk models and counterparty credit risk models, as well as performing and documenting reviews of other model types, including finance models, when required.
- The role holder will be expected to assist in the timely delivery of valuation model uncertainty analysis for quarterly model risk reporting, when required.
- The role holder will be expected to contribute toward the continuous improvement in efficiency and effectiveness of the processes that they are involved in.
- The role holder will work predominantly with other members of the Traded Risk IVU team, and from time to time will be expected to collaborate with other model stakeholders such as Front Office, Quantitative Analytics, Market Risk, Counterparty Credit Risk, Line Product Control, Independent Valuation Control, and Regulatory Liaison.
- The role holder will be expected to clearly and concisely communicate complex ideas and concepts to a range of audiences in a variety of circumstances.
Skills and Competencies
- Postgraduate level education in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance.
- Proven ability to understand several pricing modelling approaches and their strengths and weaknesses as well as performing and documenting quantitative testing and analyses.
- Programming experience, for example VBA, C++.
- Strong verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances.
- Team player with excellent communication skills who is comfortable working against tight short-term deadlines in a dynamic environment.
If you are interested in this role, please apply below or contact me for more information.