Senior Manager Credit Pricing and Algo-trading Models Validation

Standard Chartered Bank; City Of London; On-site; GBP 70,000 - 90,000; Full time

Job summary

A leading international bank in the City of London is seeking a validator for their Traded Risk Model Validation team. This role involves performing in-depth validations of pricing and algo trading models across various asset classes. Candidates should have a strong quantitative background and advanced programming skills, along with experience in model validation or development. The position offers a competitive salary and benefits, promoting a continuous learning culture within an inclusive environment.

Benefits

Core bank funding for retirement savings

Time-off including parental leave

Flexible working options

Proactive wellbeing support

A continuous learning culture

Qualifications

• Demonstrated senior-level expertise in model validation or development.
• Advanced knowledge of fixed incomes and credit markets required.
• Experience with typical data sets used in credit trading.

Responsibilities

• Perform validation of CR pricing/Algo models and products.
• Assess and opine on model risk across a range of models.
• Issue technical validation reports and recommendations.

Skills

Strong quantitative background

Advanced programming skills in C++ and/or Python

Strong communication skills

Proactivity and self-motivation

Education

Advanced degree (PhDs, Masters, or equivalent) in a highly numerical subject

Tools

Pandas

Numpy

Scikit-learn

TensorFlow

Job description

Job Summary

Traded Risk Model Validation is a group that performs in-depth technical model validations of models covering pricing, algo trading models, market and counterparty credit risk of derivatives spanning all asset classes. This opportunity is for a validator to perform model validations, build benchmark models and conduct testing and develop standardized model testing frameworks. The role may evolve into having management and/or mentoring roles across the London and Poland-based teams.

The role sits within the Credit Pricing and Algo Trading validation team focused on Credit Pricing Models and Algorithmic Trading models. The role is expected to conduct validations across Credit pricing and Algo Trading Models. The role requires collaborative working both across the local team in the UK and globally with validators in Poland, Singapore, HK, and the US.

Key Responsibilities

• Perform validation of CR pricing/Algo models and products by verifying conceptual soundness, methodology, and implementation and by identifying and assessing limitations and uncertainties.
• Assess and opine on model risk across a range of credit pricing models and credit Algo trading models.
• Oversee monitoring of ongoing model performance.
• Issue technical validation reports and recommendations and advise stakeholders about the conceptual soundness, the technical soundness, and the empirical soundness of the models.
• Liaise with model developers, Trading, Risk managers, and Valuation control teams and provide guidance on model risk.
• Communicate validation outcome and findings to key stakeholders and management.

Qualifications

Required Skills

• Strong quantitative background, Advanced degree (PhDs, Masters, or equivalent) in a highly numerical subject such as mathematics, physics, engineering, or mathematical finance.
• Demonstrated senior-level expertise in model validation or development, specializing in pricing and risk modeling for derivatives.
• Advanced knowledge of fixed incomes and credit markets required, with a deep understanding of market practices and market drivers for trading bonds, CDS, TRS, Asset Backed Securities, Repos, and structured products.
• Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with risk-neutral valuation, pricing models for Credit/Interest Rates derivatives, and with various numerical techniques.
• Advanced programming skills, ideally in C++ and/or Python. Other languages can be considered.
• Ability to analyze and assess model risk by performing quantitative and qualitative reviews of the selected models.
• Practical knowledge of optimization, statistics, and machine learning (e.g., time series analysis, classification, supervised and unsupervised learning) and applications in finance.
• Experience in scientific programming & data visualization (Pandas, Numpy, Scikit-learn, TensorFlow...).
• Hands-on experience with typical data sets that are used in credit trading: Request for Quotes; Trade information; composite bond prices; Ratings; etc.
• Experience in Market Risk Metrics such as VaR/sVaR backtesting.
• Experience with ePricing platforms.

Soft Skills

• Strong writing skills with the ability to present conclusions and recommendations from technical projects to a less technical audience.
• Strong communication skills to facilitate the ability to work effectively as part of a Global Team and liaise with key stakeholders.
• Fluency in written and spoken English.
• Proactivity and self-motivation.
• Ability to challenge the proposed methodologies and to provide alternative solutions.

About Standard Chartered

We're an international bank, nimble enough to act, big enough for impact. For more than 170 years, we've worked to make a positive difference for our clients, communities, and each other.

What we offer

In line with our Fair Pay Charter, we offer a competitive salary and benefits to support your mental, physical, financial, and social wellbeing.

• Core bank funding for retirement savings, medical and life insurance, with flexible and voluntary benefits available in some locations.
• Time-off including annual leave, parental/maternity (20 weeks), sabbatical (12 months maximum), and volunteering leave (3 days), along with minimum global standards for annual and public holiday, which is combined to 30 days minimum.
• Flexible working options based around home and office locations, with flexible working patterns.
• Proactive wellbeing support through Unmind, a market-leading digital wellbeing platform, development courses for resilience and other human skills, global Employee Assistance Programme, sick leave, mental health first-aiders, and all sorts of self-help toolkits.
• A continuous learning culture to support your growth, with opportunities to reskill and upskill and access to physical, virtual, and digital learning.
• Being part of an inclusive and values-driven organisation, one that embraces and celebrates our unique diversity, across our teams, business functions, and geographies - everyone feels respected and can realize their full potential.