Quantitative Analyst - Model Validation - Investment Bank

Opportunity with top Investment Bank for Model Validation Role

Quantitative Analyst - Model Validation

Role Purpose

- Participate in the implementation of model governance framework

- Ensure model inventory and documentation standards are met

- Conduct ongoing model monitoring and periodic reviews, inventory check in and confirmation to tests and processes

- Periodic review (and where applicable re-validation) of models to ensure standards with regard to model testing are met

- Support hub teams on remediation of models

- Participate in the implementation of automation opportunities

Thus, it in the context of model validation, it will be critical for the incumbent to:

- Keep up to date with industry and academic model research

- Have a strong understanding of pricing models and modelling purpose, challenge of solutions to be fit for purpose or not

- Understand and implement key modelling quality - tests, in an automated tests framework

- Have a good grasp on documentation of complex models

Knowledge & Experience/Qualifications :

- A degree based on Mathematical Finance from a top tier university

- Experience in pricing model validation function (at least 3 years)

- C++ proficiency

- Scripting and Python experience (preferable)