Interest Rate Model Validator

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Traded Risk Model Validation is a group that performs in‑depth technical model validations covering pricing, algorithmic trading models, market and counter party credit risk of derivatives across all asset classes. This opportunity is for a validator to perform model validations, build benchmark models and conduct testing, and develop standardised model testing frameworks. The role sits within the Interest Rate (IR) and Inflation Valuation Models Validation team and focuses on Interest Rate pricing models, collaborating with validators in the UK, Poland, Singapore, Hong Kong and the US.

• Perform validation of IR models and payoffs by verifying the conceptual soundness of the chosen methodology and correctness of implementation, and by identifying and assessing model limitations and uncertainties.
• Assess and quantify model risk by performing independent testing and developing alternative benchmark models.
• Liaise with model developers, trading, risk managers and valuation control teams and provide guidance on model risk.
• Communicate validation outcomes and findings to key stakeholders and management.

• Advanced degree (Masters, PhD or equivalent) in a quantitative or engineering field such as mathematics, physics, quantitative finance, or computer science.
• Candidates who have recently completed a PhD or Master’s will be considered.
• Experience in a model validation or model development role covering pricing is highly desirable.
• Knowledge of interest rate derivatives and interest rate trading markets is preferred.
• Demonstrable knowledge and ability to apply mathematical techniques in modelling problems, ideally including stochastic calculus.
• Strong analytical and programming skills.
• Strong communication skills to facilitate effective collaboration within a global team and liaison with key stakeholders.
• Fluency in written and spoken English.
• Strong writing skills with the ability to present conclusions and recommendations from technical projects to a less technical audience.

We’re an international bank, nimble enough to act, big enough for impact. For more than 170 years, we’ve worked to make a positive difference for our clients, communities, and each other. We question the status quo, love a challenge, and enjoy finding new opportunities to grow and do better than before. If you’re looking for a career with purpose and want to work for a bank that makes a difference, we want to hear from you.

• Core bank funding for retirement savings, medical and life insurance, with flexible and voluntary benefits available in some locations.
• Time‑off including annual leave, parental/maternity (20 weeks), sabbatical (12 months maximum) and volunteering leave (3 days), along with a minimum global standard of 30 days of annual and public holiday.
• Flexible working options based around home and office locations, with flexible working patterns.
• Proactive wellbeing support through Unmind, a market‑leading digital wellbeing platform, development courses for resilience and other human skills, a global Employee Assistance Programme, sick leave, mental health first‑aiders and a range of self‑help toolkits.
• A continuous learning culture to support your growth, with opportunities to reskill and upskill and access to physical, virtual and digital learning.
• Being part of an inclusive and values‑driven organisation that embraces and celebrates unique diversity across teams, business functions and geographies – everyone feels respected and can realise their full potential.

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Location:

London, England, United Kingdom