Senior Credit Pricing and Algo-trading Model Validator

Job Summary

Traded Risk Model Validation is a group that performs in depth technical model validations of models covering pricing, algo trading models, market and counter party credit risk of derivatives spanning 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 may evolve into having management and/or mentoring roles across the London and Poland based teams.

The role sits within the Credit Pricing and Algo Trading validation team focused on Credit Pricing Models and Algorithmic Trading models. The role is expected to conduct validations across Credit pricing and Algo Trading Models. The role requires collaborative working both across the local team in the UK and globally with validators in Poland, Singapore HK and the US.

• Perform validation of CR pricing/Algo models and products by verifying conceptual soundness, methodology and implementation and by identifying and assessing limitations and uncertainties.
• Assess and opine on model risk across range of credit pricing models and credit Algo trading models.
• Oversee monitoring of ongoing model performance.
• Issue technical validation reports and recommendations and advise stakeholders about the conceptual soundness, the technical soundness, and the empirical soundness of the models.
• Liaise with model developers, Trading, Risk managers and Valuation control teams and provide guidance on model risk.
• Communicate validation outcome and findings to key stakeholders and management.

• Strong quantitative background, Advanced degree (PhDs, Masters or equivalent) in highly numerical subject such as mathematics, physics, engineering or mathematical finance.
• Demonstrated senior-level expertise in model validation or development, specializing in pricing and risk modeling for derivatives.
• Advanced knowledge of fixed incomes and credit markets required, with deep understanding of market practices and market drivers for trading bonds, CDS, TRS, Asset Backed Securities, Repos and structured products.
• Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with risk neutral valuation, pricing models for Credit/Interest Rates derivatives and with various numerical techniques.
• Advanced programming skills, ideally in C++ and/or Python. Other languages can be considered.
• Ability to Analyse and assess model risk by performing quantitative and qualitative reviews of the selected models.

• Practical knowledge of optimization, statistics and machine learning (e.g. time series analysis, classification, supervised and unsupervised learning) and applications in finance.
• Experience in scientific programming & data visualization (Pandas, Numpy, Scikit-learn, Tensor Flow...).
• Hands-on experience with typical data sets that are used in credit trading:
  Request for Quotes;
  Trade information; composite bond prices;
  Ratings; etc.
• Experience in Market Risk Metrics such as VaR/sVaR backtesting.
• Experience with ePricing plateforms.

• Strong writing skills with ability to present conclusions and recommendations from technical projects to a less technical audience.
• Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders.
• Fluency in written and spoken English.
• Proactivity and self-motivation.
• Ability to challenge the proposed methodologies and to provide alternative solutions.

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 you want to work for a bank making a difference, we want to hear from you.

You can count on us to celebrate your unique talents and we can't wait to see the talents you can bring us.

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