Model Validation Counterparty Credit Risk Pricing Models Manager in London

We support flexible working – click here for more information on flexible working options.

Flexible Working Options: Hybrid Working, Job Share.

JOB DESCRIPTION SUMMARY:

Our work style is hybrid, which involves spending at least two days per week, or 40% of our time, at one of our office sites. Colleagues with disabilities can be supported with workplace adjustments including hybrid working expectations in line with our Flexibility Works policy.

An excellent opportunity for a highly motivated applicant to join the Model Risk Office within Lloyds Banking Group. This is an exciting opportunity to be part of a dynamic team in a changing and challenging environment, which offers considerable scope for personal development.

You'll join the MAI & AI Modelling (MAI) team which covers valuation models for Lloyds Banking Group. The team is responsible for the independent review and analysis of the derivative pricing models used for valuation and risk.

At Lloyds Banking Group, we have a clear purpose; to help Britain prosper and to become the best bank for our customers. What we do makes a genuine difference to families, businesses and communities, and we’re playing a central role in crafting a growing UK economy.

Some of the activities you'll be involved in:

• We welcome you to a team which covers pricing, counterparty credit, and Gen AI analytics.
• We are also responsible for the independent review and analysis of the derivative pricing models used for valuation and risk.
• You will help to validate counterparty credit risk pricing models and model changes and improvements, including new metrics such as COLVA, collateral optimisation tools etc.
• You’ll also provide qualitative analysis and stress testing of counterparty credit risk pricing models and sub models.
• Validate and produce periodic reviews for XVA/Counterparty Credit Risk models.
• Provide quantitative support to the XVA new business and regulatory initiatives from a model validation/risk perspective.

Why join us?

Join us and, give us your best and we’ll give you ours. Here, you’ll make a difference to customers, you’ll enjoy a fulfilling career where you’re free to be yourself. Great colleagues, amazing workspaces, hybrid working and huge career opportunities—you’ll find them all here.

What we’re looking for:

To be considered, it is essential that you have a numerical or statistical background (evidenced through a higher qualification to at least Masters level in a quantitative discipline such as Mathematics or Finance, or via suitable experience in a quantitative role).

It is also desirable that you have experience of working in a Model Validation or Front Office Quant role.

In addition, knowledge and experience of the following would be beneficial:

• Strong analytical skills.
• Programming experience in C++ and/or Python.
• Excellent written and oral communication skills with an ability to communicate quantitative models in a clear and concise manner.
• Theoretical understanding and familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation.
• Ability to work independently to deadlines and under time pressure.

This is a place for you:

Our ambition is to be the leading UK business for diversity, equity and inclusion supporting our customers, colleagues and communities, and we’re committed to creating an environment in which everyone can thrive, learn and develop.

We were one of the first major organisations to set goals on diversity in senior roles, create a menopause health package, and a dedicated Working with Cancer Initiative. We offer reasonable workplace adjustments for colleagues with disabilities, including flexibility in office attendance, location and working patterns. And, as a Disability Confident Leader, we guarantee interviews for a fair and proportionate number of applicants who meet the minimum criteria for the role with a disability, long-term health or neurodivergent condition through the Disability Confident Scheme.

We provide reasonable adjustments throughout the recruitment process to reduce or remove barriers. Just let us know what you need.

We also offer a wide-ranging benefits package, which includes:

• A generous pension contribution of up to 15%.
• An annual performance-related bonus.
• Share schemes including free shares.
• Benefits you can adapt to your lifestyle, such as discounted shopping.
• 30 days’ holiday, with bank holidays on top.
• A range of wellbeing initiatives and generous parental leave policies.

Ready to make an impact? Apply today.

At Lloyds Banking Group, we're driven by a clear purpose; to help Britain prosper. Across the Group, our colleagues are focused on making a difference to customers, businesses and communities. With us you'll have a key role to play in shaping the financial services of the future, whilst the scale and reach of our Group means you'll have many opportunities to learn, grow and develop.

We keep your data safe. So, we'll only ever ask you to provide confidential or sensitive information once you have formally been invited along to an interview or accepted a verbal offer to join us which is when we run our background checks. We'll always explain what we need and why, with any request coming from a trusted Lloyds Banking Group person. We're focused on creating a values-led culture and are committed to building a workforce which reflects the diversity of the customers and communities we serve. Together we’re building a truly inclusive workplace where all of our colleagues have the opportunity to make a real difference.