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 sits within the Credit Pricing and Algo Trading validation team focused on Credit Pricing and Algo-trading Models. The role is expected to conduct validations across Credit 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 Credit Algo-trading models 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.
• 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.

Required Skills

• Strong quantitative background, Advanced degree (PhDs, Masters or equivalent) in highly numerical subject such as mathematics, physics, engineering or mathematical finance.
• Direct experience in either a model validation or model development role covering pricing, or risk modelling for derivatives.
• Practical knowledge of optimization, statistics and machine learning (e.g. time series analysis, classification, supervised and unsupervised learning) and applications in finance.
• Experience in using Python and in scientific programming & data visualization (Pandas, Numpy, Scikit-learn, Tensor Flow...).
• Ability to analyse and assess model risk by performing quantitative and qualitative reviews of the selected models.

Desirable Skills

• Practical knowledge of fixed income and credit markets required with understanding of market practice and market drivers for trading in bonds, CDS, TRS, Asset Backed Securities and REPOs.
• Hands‑on experience with large data sets, ideally data used for trading:
  Request for Quotes;
  Trade information; prices; etc.
• Experience in Market Risk Metrics such as VaR/sVaR backtesting.
• Familiarity with e‑Pricing platforms.
• Experience with credit and Fixed Incomes pricing models.

Soft Skills

• Proactivity and self‑motivation.
• 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.
• 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.

Our purpose, to drive commerce and prosperity through our unique diversity, together with our brand promise, to be here for good are achieved by how we each live our valued behaviours. When you work with us, you'll see how we value difference and advocate inclusion.

Together we:

• Do the right thing and are assertive, challenge one another, and live with integrity, while putting the client at the heart of what we do
• Never settle, continuously striving to improve and innovate, keeping things simple and learning from doing well, and not so well
• Are…