Model Validation Quant
New York, NY
Posted May 19, 2022 - Requisition No. 103782
Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modelling analytics that support client pricing and risk management solutions for financial products across the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation services. These models include those for pricing derivative products across all major asset classes; counterparty credit, XVA and initial margin; value-at-risk and other market risk metrics; and credit risk models.
Within the Quantitative Analytics team, the Model Validation group is responsible for defining internal standards for model development, testing and governance; and for providing review and challenge of models to ensure they are fit for purpose and in line with market-standard expectations. The Model Validation group also works with Bloomberg clients to facilitate their own internal model validation requirements when adopting Bloomberg solutions.
The Model Validation group has an open position for a model validation quantitative analyst to support the growing client business.
Typical responsibilities will include:
Design and ongoing support for the model validation and governance framework, including:
- Compiling and updating a model inventory
- Defining best-practice standards for model documentation and testing
- Agreeing model validation priorities with business and developers through the internal model governance working group
- Tracking progress with resolving model issues identified during validation.
Hands-on internal review of models, including:
- Assessment of developer documentation and testing
- Assessment of conceptual soundness, backed by further independent testing where required
- Writing concise documentation of validation findings and explaining these to stakeholders.
Client model validation support:
- Provision to clients of technical documentation, testing evidence and other materials required for their internal model validation purposes
- Explanation to clients of model methodology and performance results
- Assistance to clients with detailed drilldown, analysis and explanation of model calculations, and with issue resolution and bug fixes.
You'll need to have:
- A Masters or PhD level qualification from a leading university in a quantitative discipline (such as Mathematics, Physics, Engineering or Quantitative Finance).
- Experience (at least 2 years) of validation and/or front-line development of derivatives pricing models at a leading financial institution.
- Evidence of a solid theoretical understanding of derivatives pricing models (essential), ideally including interest-rate product pricing models.
- Facility with rapid-prototyping coding tools such as Python and Jupyter notebooks. Experience in model development in C++ would be useful, but not essential.
- Excellent writing skills, including previous experience of writing technical documentation.
- Good communication skills and the ability to interact productively and positively with business and model developer teams within Bloomberg and also with clients.
- A disciplined and methodical approach, with the capability to contribute to designing commercially appropriate model validation and control processes and to ensure that these are followed.
Bloomberg is committed to diversity. It drives our innovation. At Bloomberg, you'll have the opportunity to go above and beyond and to take risks. You'll be a part of an organization that is entering new markets, launching new ventures, and pushing boundaries. Our ever-expanding array of technology, data, news, and media services fosters innovation and empowers clients -- and offers nearly limitless opportunities for career growth
If this sounds like you:
Apply if you think we're a good match. We'll get in touch to let you know what the next steps are, but in the meantime feel free to have a look at the below to give you an idea of how the quant work contributes to the overall Bloomberg offering:
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