Model Validation Counterparty Credit Risk Pricing Models Manager

TL;DR

Model Validation Counterparty Credit Risk Pricing Models Manager (Finance): Validate counterparty credit risk pricing models and model changes, including XVA models and new metrics like COLVA and collateral optimisation tools. Focus on qualitative analysis, stress testing of models, and providing quantitative support for new business and regulatory initiatives from a model validation perspective.

Location: London (Hybrid: at least 2 days per week or 40% of time in office)

Salary: £95,418 - £106,020

Company

Major UK bank with a purpose to help Britain prosper through customer-focused financial services.

What you will do

• Validate and perform periodic reviews of XVA and Counterparty Credit Risk models.
• Review derivative pricing models used for valuation and risk, including model changes and improvements.
• Conduct qualitative analysis and stress testing of counterparty credit risk pricing models and sub-models.
• Provide quantitative support for XVA new business and regulatory initiatives from a model validation and risk perspective.
• Contribute to pricing, counterparty credit, and Gen AI analytics model validations.

Requirements

• Numerical or statistical background with higher qualification to at least Masters level in quantitative discipline such as Mathematics or Finance, or equivalent experience.
• Strong analytical skills.
• Programming experience in C++ and/or Python.
• Theoretical understanding of derivative pricing models, stochastic calculus, partial differential equations, and Monte Carlo simulation.
• Excellent written and oral communication skills to explain quantitative models clearly.
• Ability to work independently to deadlines under time pressure.

Nice to have

• Experience in Model Validation or Front Office Quant role.

Culture & Benefits

• Hybrid working with flexibility and workplace adjustments for disabilities.
• Generous pension up to 15%, annual performance bonus, share schemes.
• 30 days holiday plus bank holidays, discounted shopping, wellbeing initiatives.
• Generous parental leave, menopause health package, Working with Cancer Initiative.
• Commitment to diversity, equity, inclusion; Disability Confident Leader with guaranteed interviews for eligible applicants.