Job Description
Model Risk Management (end of day pricing model validation). The team handles the validation of pricing models used in production by the Investment Banking trading desk. It covers all asset classes. In addition, the team is responsible for the validation of other models, like reserve methodologies, fair valuation adjustments, the liquidity reserve modelling etc.Review implementation methods, products traded in the IR markets, and the associated risksWhere appropriate, models/payoffs of products independently implemented in a managed library; Python is usually used for testing; prior knowledge of that would be helpful
Responsibilities + Skills
Education
PhD or Masters in Science on technical subject; theoretical Physics, Mathematics, Engineering are preferred but not exclusive
Experience
