Overview
In this role you own end-to-end model risk management for a defined subset of models within a larger inventory, driving validation, monitoring, change reviews and reporting to senior management. You will work across market risk, liquidity risk and initial margin, interacting with developers, users and overseers to assess design, benchmarks and backtesting. You’ll identify weaknesses and propose practical improvements, and build Python tools to enhance validation and monitoring. This is a technical, impact-focused position in a major financial markets organisation with real influence on model governance.
Responsibilities
- Manage end-to-end model risk process for a defined subset of models
- Conduct validation, ongoing monitoring and change reviews; communicate findings to senior management
- Assess model design and assumptions; benchmark results; review backtesting and stress testing
- Evaluate proposed changes and calibrations; identify weaknesses and recommend improvements
- Develop Python tools to strengthen validation and monitoring
- Collaborate with model developers, users and overseers across market risk, liquidity risk and initial margin
Key requirements
- An MSc or PhD in mathematics, statistics, quantitative finance or a related field
- Experience in model validation, quantitative analysis or risk analytics with the ability to lead complex reviews independently
- Strong knowledge of market risk, liquidity risk or initial margin models
- Python and SQL skills; understanding of option pricing, statistical risk modelling, backtesting and stress testing
- Ability to present complex findings clearly to technical and non-technical stakeholders
- Experience with exchange-traded derivatives or FRM/PRM/CFA qualification would be useful
- Clear communication of complex findings
- Incisive questioning and analytical depth
- Ability to work independently and as part of a cross-functional team
- Python
- SQL
- option pricing
AVP - Model Risk & Validation in London employer: Barclay Simpson Corporate Governance Recruitment
As a leading investment bank located in London, we pride ourselves on fostering a dynamic and inclusive work culture that prioritises employee growth and development. Our commitment to innovation in quantitative analytics offers unique opportunities for professionals to influence pricing models across multiple asset classes while collaborating with top-tier teams. With competitive compensation packages and a focus on continuous improvement, we are an excellent employer for those seeking meaningful and rewarding careers in the financial services sector.
Contact Details:
Barclay Simpson Corporate Governance Recruitment Recruitment Team
