Assistant Risk Manager (Pricing Model Validation)

Last updated 6 days ago
Location:Greater London
Job Type:Full Time

End Date

Thursday 21 January 2021

Salary Range

£52,947 - £58,830

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Agile Working Options

Other Agile Working Arrangements / Open to Discussion

Job Description Summary

Job details
An excellent opportunity has arisen for a highly motivated applicant to join the Commercial Banking Risk – Methodology & Models team within Lloyds Banking Group. This is an exciting opportunity to be part of a dynamic team in a changing and challenging environment, which offers considerable scope for personal development.

The successful candidate will join the Methodology and Models team which covers the pricing, counterparty credit, and market risk measurement modelling for Lloyds Banking Group. The team is responsible for the independent review and analysis of the derivative pricing models used for valuation and risk.

Job Description

At Lloyds Banking Group, we’re driven by a clear purpose - to help Britain prosper. Across the Group, our colleagues are passionate about making a difference to customers, businesses and communities.

What will you be doing?

As an Assistant Risk Manager, you'll help our Risk Division contributing to the Group's strategy to become the best bank for customers, investors, shareholders and colleagues.

Joining a high-profile team, which cover pricing, counterparty credit, and market risk measurement modelling and are responsible for the independent review and analysis of the derivative pricing models used for valuation and risk, your accountabilities will include:

  • Develop and benchmark pricing models in an independent C++ library, provide theoretical analysis and review of pricing models across asset classes understanding the mathematical models used and their implementation methods
  • Provide qualitative analysis and stress testing of pricing models used for pricing and/or risk calculation
  • Model the annual review for pricing models
  • Undertake algorithmic trading validation work to be compliant with MiFID regulation
  • Undertake trade surveillance validation work to be compliant with FCA regulation

What are we looking for?

Essential:

  • To be considered, it is essential that you have a numerical or statistical background (evidenced through a higher qualification to at least Masters level in a quantitative field such as Mathematics or Finance, or via demonstrate commercial experience in a quantitative role)
  • It is also essential that you have experience of working in a Model Validation or Front Office Quant role

Desirable:

  • Strong analytical skills
  • Programming experience in C++ including library architecture design
  • Excellent written and oral communication skills able to communicate quantitative models in a clear and concise manner
  • Theoretical understanding and familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation
  • Ability to work independently to deadlines and under time pressure

In return, you’ll learn new skills, technologies and approaches to market risk measurement modelling. As a multi-brand, multi-channel business, we have the scale and reach to give you a diverse range of opportunities to learn, grow and develop and to help you achieve a rewarding and fulfilling career!

You'll also receive a benefits package which includes:

  • Generous pension contribution
  • 30 days leave plus bank holidays
  • A flexible cash pot (4% of base salary) to spend on benefits

We’re committed to building a workforce which reflects the diversity of the customers and communities we serve. Join us and be part of an inclusive, values-based culture focused on making a difference.

So if joining us at a critical and exciting time and if this role sounds like it could be for you, click apply below!

Together we make it possible.

At Lloyds Banking Group, we're driven by a clear purpose; to help Britain prosper. Across the Group, our colleagues are focused on making a difference to customers, businesses and communities. With us you'll have a key role to play in shaping the financial services of the future, whilst the scale and reach of our Group means you'll have many opportunities to learn, grow and develop.

We're focused on creating a values-led culture and are committed to building a workforce which reflects the diversity of the customers and communities we serve. Together we’re building a truly inclusive workplace where all of our colleagues have the opportunity to make a real difference.