Our Client are looking for someone like that to:
- validate models to detect and quantify risks in the area of marking-to-market and risk management of model intensive products. This involves, among others, identifying the use of mathematically flawed models, quantifying errors, and proposing alternative solutions
- identify inadequate models, i.e. models which while being mathematically sound, are not applicable to the given product and/or market
- highlight the potential of use of wrong or inconsistent input values for parameters, which are not readily quoted in the market (e.g., skew, correlation etc.)
- Perform product certification and approval of single trades and review new products with special emphasis on valuation and risk management
- detecting misunderstood and/or understated risks
- identifying unnoticed market changes (e.g. new traded products) which affect current valuation/risk management methods
You'll be working in the Rates Valuations Models team in London, covering valuation models used for linear/nonlinear rates, inflation and hybrid derivatives. We cover all aspects of model validation, model-related issues in trade pre-approvals and reserves for interest rates, equities, commodities, foreign exchange, and credit derivatives products, assessment of the impact of models on valuation, market, and credit risks. Together with other teams, it also develops methodologies for aggregating market and credit risks, to provide bank-wide risk analysis for senior management.