Description
An excellent contract opportunity has arisen for a Commodities Model Validator to join a leading Investment Bank based in London. The ideal candidate will have strong knowledge around Modelling and Regulations. Experience working as a quantitative analyst within model validation will be strongly desired.
Key Responsibilities:
The successful candidate should ideally have:
- Good knowledge of commodities asset class, in particular energy (linear) products.
- Hands on experience with the RightAngle system for commodities.
- Good knowledge of yield curves.
- Experience with working as a quantitative analyst, preferably in model validation.
- A good knowledge of regulatory requirements and best practice with regards to model validation and model risk
- Excellent document writing skills
- Practical model testing skills
- Significant hands on experience with valuation models and systems
- Good understanding of financial products and Greeks
Model Validation:
- Validate commodity valuation and VaR models.
- Review the applicability (ie the strengths, weaknesses and limitations) of the valuation models. This requires assessing the accuracy of the model given the bank's business and portfolio.
- Review the calibration of the model parameters according to the current economic environment and the Bank's portfolio
- Contribute to model governance and model risk processes
- Conduct validation in line with sound interpretation of regulatory requirements
- Conduct validation with a minimal amount of supervision
Experience and Qualifications:
- Good working experience in Excel is essential
- Excellent academic credentials in a quantitative field
- Excellent quantitative and problem solving skills
- A clear independent and effective communicator, persuasive in inter-personal communication
- Ability to deliver practical solutions in a demanding high-pressure environment
- The successful candidate will be a confident pro-active self-starter, an intelligent lateral thinker and problem solver who is good at dispute resolution