Director Model Validation Pricing Models

  • Location:

    London, England

  • Sector:

    Risk

  • Job type:

    Permanent

  • Salary:

    £130000 - £150000 per annum + excellent package

  • Contact:

    Goodman Masson

  • Job ref:

    SNMV1_1535622086

  • Published:

    10 months ago

  • Expiry date:

    2018-09-29

  • Startdate:

    ASAP

  • Consultant:

    Goodman Masson

VP's - looking for that elusive Director promotion? Look no further. We are mandated by a mid sized investment bank with a growing presence in the UK.

The bank is emerging markets focused (China/Africa focused bank) and is currently building out its in house risk capability in the London office under the direction of the PRA. The firms head office is currently providing risk modelling and model validation support to the London entity, however, there is an ongoing "in-sourcing" project happening to set up internal, London based teams.

This role is a Director role, part of a team that is currently 4 people but will expand to c7/8. No initial management but this will change as the team grows. The team will cover validation of all models ie market, counterparty, pricing, liquidity etc. The have IMM and IMA approval. This will span all asset classes (FI, FX, Equities, Commodities). Ideally they want a pricing model specialist for this role. The person must have a good model development background as well as the role will involve implementing independent pricing libraries in C++ as well as developing and improving the model validation framework for pricing models. a PhD in a relevant technical subject is strong preference, however, those with a Masters and the relevant knowledge of stochastic modelling will also be considered.

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