Pricing Model Validation Role - Derivatives Segment

Strong understanding of the qualitative issues within FRTB (SA and IMA approach)

- Identifying and documenting business requirements from key business stakeholders.

- Market risk models - Expected shortfall, DRC, CVA, Back testing (SA and IMA)

- Should have working experience in multi-asset classes and derivative pricing.

- Coding skills on R/Python and C++.

- Responsible for ensuring alignment/integration between work done on FRTB and the market risk infrastructure.

- Responsible to collaborate with wider Markets Risk and Technology teams in designing solutions.

- Prepare Methodology Document produced by the Quants/ methodology team act as a BRD and prototype for computations.

- Responsible for implementing FRTB requirements in a tight deadline.

- Project management of all analysis activities and support for UAT

- Senior business stakeholder's management

- Contribute to methodological enhancements, including qualitative impact analysis.

- Flexibility to move to different projects

- Strong quantitative skills including algorithms, Modelling, and usage of advanced statistical techniques

- Experience in derivative pricing and exposure to asset class ( IR, FX, Credit and fixed income)

- Strong programming skills and pricing library

- Understanding of RWA data and processing - specifically CCR and MR RWA

- Experience in Risk Management, market Risk, Liquidity Risk and Credit risk

- Experience in market risk implementations, experience in similar regulatory capital calculation implementations preferred.

- Good understanding and experience in risk calculation and market risk measure, models & methodologies.

- Good understanding about different regulatory requirements (including Basel III, SIMM, FRTB, CVA, - )

- Good understanding of other Market Risk measurement techniques e.g. VaR, RNiVs, Economic Capital, IRC, ERC and Market data

- Prior experience on Derivative Products and Risk Scenarios, Stress testing

- Must Have - Validation of Maket Risk and Pricing Module