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DATE ADDED: Tue 31/12/2019

Model Validation Quantitative Analyst

London, UK


JOB TYPE: Permanent, FullTime

SALARY: Competitive

Model Validation Quantitative Analyst
Salary: Competitive
Reference number: 1900019320
Location: London, UK
Opening date for applications: 7 January 2020
Closing date for applications: 4 February 2020

About Standard Chartered
We are a leading international bank focused on helping people and companies prosper across Asia, Africa and the Middle East.
To us, good performance is about much more than turning a profit. It's about showing how you embody our valued behaviours - do the right thing, better together and never settle - as well as our brand promise, Here for good.
We're committed to promoting equality in the workplace and creating an inclusive and flexible culture - one where everyone can realise their full potential and make a positive contribution to our organisation. This in turn helps us to provide better support to our broad client base.

The Role Purpose
Group Model Validation (GMV) is responsible for independently validating the quantitative financial models that are used in Standard Chartered Bank. The role is a manager grade position in the Counterparty Credit Risk validation team within GMV. The successful candidate will be responsible for validating individual models under the guidance of the head of the team. The work will involve theoretical mathematical analysis, model implementation and coding and documentation of the work for management review.

The Role Responsibilities
  • Review and validation of CCR derivative pricing models (Sungard Library), focussed on OTC and ETD products including other components of IMM framework i.e. Back Testing, WWR, Margining and Collateral.
  • Implementation of benchmark models in Python, C++ and other programming language.
  • Development of alternative models and methodologies in order to assess model risk.
  • Writing technical validation report to the best standards.
  • Day to day support of stakeholders in all model related questions.
  • Liaise with Counterparty Credit Risk Modelling Team, front office quantitative analysts/validation team, Model Monitoring team and other Traded Risk committees to present technical validation report.

Develop benchmark models and validation as per Internal Quant Library standards.

People and Talent

Consulted on aspects of maintaining a team with high proficiency for identifying and quantifying model risk. For example, by performing interviews.

Risk Management
Consulted on all aspects of risk management that fall within GMV's remit.

Consulted on all aspects of governance that fall within QMV's remit.

Regulatory & Business Conduct
  • Display exemplary conduct and live by the Group's Values and Code of Conduct.
  • Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
  • Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.

Key Stakeholders
  • Traded Risk Model Assessment Committee
  • Group Risk Measurement
  • Counterparty Credit Risk Modelling Team
  • Market Risk Analytics Team

  • Knowledge of financial mathematics, derivative pricing, collateral and initial margin knowledge, model monitoring.
  • Knowledge of stochastic calculus, financial mathematics for derivatives pricing, and associated numerical methods, e.g. Monte Carlo, PDEs and numerical integration.
  • Experience of implementing large projects in Python, C++ or Haskell.
  • Experience in CCR and IMM modelling.
  • Sound judgement in assessing the strength and weaknesses of modelling approaches.
  • Strong communication skills and ability to work effectively as part of a Global Team and to liaise with key stakeholders. Fluency in written and spoken English.
  • Strong writing skills with an ability to consistently produce precise, accurate and concise documentation.
  • Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics or physics. A PhD is preferred. Candidates with educational backgrounds in less technical subjects such as economics, banking or finance are unlikely to be considered.

Apply now to join the Bank for those with big career ambitions.