Senior Audit Manager - Valuation Models

London (City of), London (Greater)
06 Oct 2018
05 Nov 2018
Contract Type
Full Time
0-25% Travel

A major banking group are currently seeking a Valuation Models specialist to head up their Valuations Models Audit team as part of the bank's internal audit function. The position will have direct reports, leading a small team of Quant and Models Auditors, and provide independent assurance over the risks associated with the use of derivatives valuation and related risk models across the Group. The role is part of the bank's wider Model Risk audit team. 

Applicants must have excellent quantitative skills (ideally a PhD), experience across areas such as model development, validation, control functions and strong senior stakeholder skills. The ideal candidate will have experience of interest rate and currencies derivatives modelling. Practical experience of Valuation and Risk Management techniques and an understanding of Mathematical Finance and its applications in pricing across multiple asset classes is also highly desirable. 

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