Principal Accountabilities

• Validation of derivative pricing and risk models both for in-house and vendor analytics
• Further development of QRM model test suite; analysis and sign-off on regression testing of derivatives pricing during system releases
• Model Risk Management including building up a group-wide Model Inventory and reviewing model risk
• Analysis and signoff on deal representation and pricing of scripted derivative transactions
• Providing quantitative expertise to the ongoing activities of the Risk Management
• Maintaining regular and informative communication with Head of Quantitative Risk and Front Office quants.

Key Competencies & Qualifications

• Higher quantitative degree, preferably in Physics, Maths, or Engineering.
• Proven track record in one or more of the following areas in an investment banking environment:

1. Model validation
2. Model development
3. Counterparty or market risk analysis for derivatives

• Strong knowledge of pricing and risk models and ability to test derivative pricers;
• Solid quantitative skills;
• Wide product knowledge across a range of asset classes;
• Programming ability, preferably in C#;
• Outgoing and engaging;