Director - Model Validation, Interest Rates

Director – Model Validation, Interest Rates

LSEG (London Stock Exchange Group) is a global financial markets infrastructure and data provider headquartered in London, with significant operations in 70 countries. With a core workforce of 25,000 people worldwide, LSEG is committed to integrity, partnership, excellence and change, and seeks to build an inclusive culture that empowers employees to reach their full potential.

The Model Risk Management Director will conduct the validation and independent review of Pricing and Risk models across LSEG to provide independent assurance that covered models are fit for purpose. Main focus areas include Rates models, Fixed Income pricing and curve construction models, and Risk margining models.

• Lead the validation of structured, flow rates, and curve construction models, assessing mathematical and technical considerations, developing internal benchmarks, identifying and escalating risks, documenting results and generating validation reports.
• Lead all Model Risk Committee and Working Group work related to Rates models.
• Design, review and challenge ongoing monitoring for relevant models, assessing effective controls, tests and thresholds for model performance.
• Engage with 1
  
  LOD key stakeholders (model developers, owners and users) throughout the model life cycle, leading communication of relevant model issues to senior management and preparing associated MI.
• Lead model governance embedding across LSEG in the Rates space and assess applicable regulatory requirements.
• Supervise junior team members (in Bucharest) on the validation of Rates models, providing guidance on modelling approaches, validation techniques and effective challenge standards.

Required:

• PhD or MS degree in Applied Mathematics, Finance, Statistics, Physics, Engineering or related discipline, with several years’ experience in a Model Validation, Front Office Quant, or Risk Quant role focused on Rates products.
• Extensive Rates quant experience; expertise in Interest Rates pricing models and curve construction methodologies.
• Strong coding skills in a professional environment (Python, R, C/C++, SAS).
• Strong analytical and problem‑solving skills, with excellent attention to detail and written communication.
• Strong communication skills, able to adapt to the audience and convey complex model issues clearly to senior management.
• Recognised leadership skills, exercising and expanding span of influence.
• Consistently delivers on commitments with a collaborative mindset.

Desirable:

• Experience or exposure to Eikon or Yield Book libraries.
• Knowledge of margin models and CCP regulatory environment.
• Knowledge of mortgage analytics and interaction between Rates and pre‑payment models.

We are proud to be an equal opportunities employer. We do not discriminate on the basis of race, religion, colour, national origin, gender, sexual orientation, gender identity, age, marital status, veteran status, pregnancy or disability, or any other basis protected by applicable law. We will accommodate religious practices and mental or physical disability needs as required.

LSEG offers a range of tailored benefits and support, including healthcare, retirement planning, paid volunteering days and well‑being initiatives.