Job Overview

Validation Analyst

Location: London, England Salary: Up to £600 per day
Type: Contract Contact: James Rogers
Posted: 5 months ago

My banking client is looking for a Validation Analyst to perform detailed methodology validation and methodology development. Other responsibilities;

  • Perform Methodology Validation ofFO Methodologies covering Model reserves, Liquidity reserves and Prudential Valuation. Validation includes
    • Assessment of theoretical approach
    • Assessment of the approach as applied in practice.
    • Detailed analysis of the Market data used.
    • Benchmarking of approach to alternative approaches.
    • Detailed write up following SR11-7 and suitable for regulatory submission.
  • Develop Methodologies forIPV:
    • Support the Independent Price Validation (IPV) teams, by developing new and improving existing IPV processes
    • Implementation of the approach in Python.
    • Liaise with both the IPV and Desk during the development of the approach.
    • Create detailed documentation describing the approach.

You will have

  • Excellent technical understanding of complex products and the different models used for Valuation
  • Excellent understanding of Asset/Derivative Valuation Models-should be able to understand their workings intuitively and be able to communicate with Quants on technical issues
  • Experience in a wide range of Credit, Rates and FX products, from a valuations perspective
  • Clear understanding and working experience in the concepts of fair value and valuation uncertainty
  • Experience in MPU and COC AVA methodologies for Prudent valuation, among others

Eames Consulting is acting as an Employment Business in relation to this vacancy.