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Fixed Income Model Risk Quant - VP

Morgan McKinley
London, United Kingdom
Competitive Salary
Closing date
Feb 13, 2024

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Job Role
Risk Manager
Contract Type
Full Time
Job Purpose

The team covers the model risk of the valuation models used by Global Markets.

This role covers the global scope of model risk, across all geographies.

  • Initial and periodic review/reassessment of all relevant valuation models as defined by the Valuation Methodology Control Policy (VMCP). Furthermore, to analyse and (where appropriate) confirm approval of model-related Valuation Model Events (VMEs).
  • Maintenance of documentation supporting the above (re-)reviews, reassessments and approvals.
  • Definition and regular review of model-related valuation adjustments (Fair Value and Prudent Value).
  • Represent RISK MFI at Valuation Model Committees (VMCs), and also chair and organize the Global Business Line VMC ensuring significant model issues are discussed.
  • Act as the main interlocutor of RISK MFI with Global Markets Quantitative Research.

  • Collaborate closely with other RISK MFI teams. Specifically (but not exclusively):
  • Strong and frequent interactions with the Analysis teams, to keep model considerations anchored in the context of current positions and market conditions and to contribute quantitative expertise on relevant subjects.
  • Contribute to approval processes (Limits, TAC, NAC...) involving complex valuation issues.
  • Promote standardisation of valuation model frameworks across Global Markets, with regional or desk-level exceptions only being kept where strong justifications motivate special configurations
  • Promote consistency of valuation model frameworks across Global Markets, where exceptions to the general rules at regional or desk level should be kept to a minimum.
  • Contribute to the valuation model risk management governance framework and other related governance subjects, working closely with the Valuation Risk Officers.
  • Contribute to non-model valuation adjustments where justified by their nature (complex, quantitative...).
  • Contribute to forums and committees on topics related to valuation models and other quantitative subjects (Non Standard Booking Committee, RTR, Main Position...), where needed.

  • Provide excellent and specialised valuation model risk analysis, advice and opinion to management and the business. Identify and prioritise areas of risk for analysis.
  • Use specialised expert knowledge and deep experience of the business activities to resolve complex valuation model risk issues, using an innovative and analytical approach.
  • Review and develop quality and efficiency of risk assessment work within the team. Contribute to establishment of appropriate standards.
  • Manage and lead cross-functional projects across a broad scope of activities/geographies/teams. Be a key contributor to global projects.
  • Manage relationships with key stakeholders in the business and other teams to ensure the appropriateness and efficiency of the framework.
  • Influences and supports team members via leadership on decision-making. Acts as escalation point within team.
  • Strong management or leadership within the team, driving complex projects and tasks.

Knowledge, Skills & Experience
  • Education: Post-graduate in relevant subject (e.g. Finance, Economics, Sciences) or equivalent proven experience.
  • Deep knowledge of capital markets, derivatives (products and markets, trading/risk management, vanillas and exotics), applied mathematics, valuations models, numerical implementation methods.
  • Excellent organizational and communication skills
  • Outstanding quantitative and analytical abilities
  • Proficiency in relevant IT skills and packages (e.g. Excel, VBA, Python/R)
  • Collaborative approach to team work.
  • Capacity for critical judgement.
  • Creative and imaginative problem solving.
  • Rigorous attention to detail
  • Excellent knowledge of industry and regulation.
  • Demonstrated people-management skills
  • Leadership and/or management skills
  • Large scale project management
  • Ability to influence, negotiate and collaborate

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