XVA Model Validator

  • Salary:£65,000 - £90,000*
  • Location:London, England, United Kingdom
  • Job Type:Permanent, Full time
  • Company:Alexander Ash Consulting
  • Updated on:16 Feb 19

Overview: The Model Risk Management team (MoRM) provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drive valuation, risk and stress results. MoRM is responsible for the independent review and analysis of all derivative pricing models used for valuation and risk across the bank.

Key Responsibilities:

  • The role is as a Quantitative Analyst to independently review and analyse models for the valuation and risk management of Credit Valuation Adjustments (CVA), Funding Valuation Adjustments (FVA) and other VAs.
  • Reviews and analysis require a deep understanding of the mathematical models used, implementation methods, products traded across multiple asset classes, and the associated risks that are inherent from trading these products.  In addition to theoretical analysis and review it is required (where appropriate) that model/products are independently implemented in a managed python/C++ library. 
  • The outcome of review and analysis and independent implementation will form the basis of discussion with key model stakeholders including: Front Office Trading; Front Office Quants; Market Risk Managers and Finance Controllers. 
  • Additional responsibilities will include active engagement in the ongoing review of model performance and applicability as well as the validation and review of significant upgrades introduced to existing models.

Skills & Qualifications:

  • PhD qualification in numerate subjects such as Mathematics, Financial Mathematics, Physics or Statistics.
  • Experience in a Model Validation, Front Office Quant or other relevant quantitative role.
  • Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
  • A deep understanding of XVA modelling, especially CVA and FVA modelling.
  • A strong interest in financial markets (especially derivative pricing) demonstrated by qualifications and experience.
  • Experience in coding in C++ in a managed codebase.

If you are ready to take the next step in developing your career within a high Impact organisation, please give me a call or send an email.


 *Due to the high volume of applications, I hope you understand that we can not respond back to every applicant*