Risk Manager - Pricing Model Validation

£69,448 - £86,810 + benefits
25 May 2023
16 Jun 2023
Job Type
Risk, Risk Management
Contract Type
Full Time
End date

Friday 16 June 2023

Salary range

£69,448 - £86,810

We support agile working

Click here for more information on agile working options.

Agile Working Options

Other Agile Working Arrangements / Open to Discussion

Job description

What would you get involved with?

You’ll join a team which is responsible for the independent review and analysis of the derivative pricing models used for valuation and risk. We also cover equity investment and real estate valuation models.

You’ll develop and benchmark pricing models in an independent code library using either C++ or Python, provide theoretical analysis and review of pricing models across asset classes understanding the mathematical models used and their implementation methods.

You’ll also provide qualitative analysis and stress testing of models needed for pricing and/or risk calculation.

Other responsibilities include:

  • Conducting the annual review for pricing models
  • Undertaking algorithmic trading validation work according to MiFID regulation
  • Undertaking trade surveillance validation work needed by FCA regulation
  • Crafting model reserves and calculate model risk AVAs
  • Reviewing the Prudential Valuation adjustments including reserves.

What skills and experience can you bring to the role?

To be considered, it is crucial that you have a numerical or statistical background (evidenced through a higher qualification to at least Masters level in a quantitative subject such as Mathematics or Finance, or via demonstrate commercial experience in a quantitative role).

It is also crucial to have experience of working in a Model Validation or Front Office Quant role.

Provide insightful, high quality analysis, advice and guidance in a specific area of risk, executing control and tailored to senior stakeholder needs. May lead a team of risk specialists and deputise for more senior colleagues

In addition, knowledge and experience of the following would be beneficial:
  • Strong analytical skills
  • Programming experience in C++ and/or Python including library architecture design
  • Excellent written and oral communication skills with an ability to communicate quantitative models in a clear and concise manner
  • Theoretical understanding and familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation
  • Ability to work independently to deadlines and under time pressure.

And in return...

As well as a competitive salary (dependent upon location and experience, you’ll receive:
  • Discretionary Performance Share Award
  • Generous pension contribution
  • A flex benefits cash pot you can adjust to suit your lifestyle (4% on top of your basic salary)
  • Private health cover
  • Share schemes
  • 30 days holiday plus bank holidays

The location of this role is flexible.

In return for your expertise, you'll enjoy our total dedication to your ongoing personal and professional development. We'll help you perform at your best today, so you can fulfil all your potential in the future.

We're committed to building a workforce which reflects the diversity of the customers and communities we serve, and to building an inclusive environment where all our colleagues can be themselves and succeed on merit.

We're an equal opportunity employer and deeply value diversity within our organisation. We’ll ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process and to perform in their role.

So if you have the skills we’re seeking and you’re looking for your next step, we’d love to hear from you!

Together we make it possible

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