Director - Model Validation, Interest Rates London, England
LSEG (London Stock Exchange Group)
Full Time
London, England
10.56 - 12.04 GBP Today
Job description
Role Purpose
As the Group’s operations grow in footprint and complexity, Group Risk is expanding its Model Risk Management Validation function. LSEG’s Model Risk has oversight of a diverse array of model types across all asset classes.
The Director will work on conducting the validation and independent review of Pricing and Risk models across LSEG to provide independent assurance that the covered models are fit for purpose. Key areas of coverage are:
- Rates suite of models underlying Price-It, AdFin, Yield Book and Acadia Libraries, Fixed Income pricing and curve construction models, risk margining models and pricing tools for the Group’s Post Trade division.
Accountabilities
Model validation lead with focus on Rates and Margin models
- Lead structured and flow rates model validation underlying key rates libraries, including Yield Book rates models that are integrated into mortgage analytics,
- Review and validate curve construction models across Post Trade (LCH Ltd. and LCH SA), Yield Book, Price-It, and other libraries,
- Assess mathematical and technical considerations in models and quantitative methods,
- Develop internal benchmarks for rates models,
- Identify and escalate risks, issues in the assessed models,
- Effectively document the testing and conclusions,
- Lead all Model Risk Committee and WG work related to Rates models,
- Design adequate ongoing monitoring for relevant models,
- Create Model Validation deliverables: reports, notes, findings.
Model governance
- Lead model governance embedding across LSEG in Rates space,
- Liaise with Rates/Post Trade senior mgmt. and senior Rates/Post Trade developers on all related topics,
- Assess and quantify effective controls and tests for model performance,
- Review regulatory requirements,
- Support junior validation team in Bucharest on rates validation projects,
Model management
- Assist risk and business management in all aspects of Rates model risk,
- Communicate with senior management all issues relevant to Rates models,
- Prepare presentations on key model issues for senior management in business and risk.
Personal Qualities & Experience
- PhD or MS degree in Applied Mathematics, Finance, Statistics, Physics, Engineering or similar years’ experience in a Model Validation, Front Office Quant, or Risk Quant role in Rates products,
- Extensive quant experience with Rates; Interest Rates pricing models and interest rate curve construction methodologies,
- Good coding skills within a professional environment (Python, R, C/C++, SAS),
- Theoretical understanding and familiarity with Rates derivative pricing models,
- Strong analytical and problem-solving skills, good attention to detail, solid writing skills,
- Consistently delivers on commitments and has a collaborative mindset,
- Working experience or exposure to Eikon or Yield Book is a plus,
- Knowledge of margin models and CCP regulatory environment is a plus,
Knowledge of mortgage analytics and interaction between Rates and Prepayment models is a plus is a plus.
At LSEG, we believe that creating a diverse and inclusive organisation is fundamental to the way we deliver on our promise of creating essential partnerships and open opportunities. Our open culture is central to how we deliver our purpose – driving financial stability, empowering economies and enabling customers to create sustainable growth – in everything we do.
Working with us means that you will be part of a dynamic organisation of 25,000 people across 70 countries. However, we will value your individuality and enable you to bring your true self to work so you can help enrich our diverse workforce. You will be part of a collaborative and creative culture where we encourage new ideas and are committed to sustainability across our global business. You will experience the critical role we have in helping to re-engineer the financial ecosystem to support and drive sustainable economic growth. Together, we are aiming to achieve this growth by accelerating the just transition to net zero, enabling growth of the green economy and creating inclusive economic opportunity.
LSEG offers a range of tailored benefits and support, including healthcare, retirement planning, paid volunteering days and wellbeing initiatives.
We are proud to be an equal opportunities employer. This means that we do not discriminate on the basis of anyone’s race, religion, colour, national origin, gender, sexual orientation, gender identity, gender expression, age, marital status, veteran status, pregnancy or disability, or any other basis protected under applicable law. Conforming with applicable law, we can reasonably accommodate applicants' and employees' religious practices and beliefs, as well as any mental health or physical disability needs.
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