Senior Manager, Pricing Model Validation

About the Job

The successful candidate will report to the Head of Model Validation. The purpose of the role is to act as the second line of defense on model risk and to validate the models used in the Bank. The role is an essential part of the Model Validation team. The team’s remit covers all material models including a wide range of pricing and risk models. The team is expected to look beyond checking the correctness of the model from a mathematical and implementation perspective. It is essential to provide a robust challenge to modelling assumptions and to review market applicability issues and appropriateness of data and calibration.

What you’ll be doing

Model Validation focused on pricing models

• Validate cross-asset class front office pricing and XVA models.
• Assess models for conceptual soundness and implementation accuracy. Review their applicability, including strengths, weaknesses, assumptions, and limitations. Independently develop scalable and modular benchmark models. Prepare model validation reports in compliance with regulatory standards such as SS 1/23 and follow up with stakeholders on identified modelling issues and risk mitigation.
• Participate in the validation of models beyond front office pricing and XVA models as needed.
• Collaborate and interact with a variety of stakeholders and oversight bodies, including the front office, risk department, regulators, and internal and external auditors.
• Conduct validations with minimal supervision, adhering to internal standards, best practices, and regulatory expectations.
• Engage in model validation aspects of projects and new product approval processes.

Model Risk

• Collaborate with stakeholders to enhance the overall model risk management framework.
• Participate in relevant technical committees and present model validation documents.
• Perform model risk management processes, including risk quantification, monitoring, and periodic validation.

Key interfaces

• Establish strong working relationships with the front office and risk function.
• Provide stakeholders with timely responses to day-to-day requests while maintaining long-term objectives and regular review schedules.

What you’ll need to be successful

• Excellent academic credentials, with a Master's or preferably a PhD in a quantitative field such as mathematics or physics.
• Extensive experience in validating pricing models. Advanced modeling experience with at least one of XVA, FX, rates, credit, or commodities, and a broad understanding of cross-asset class products.
• In-depth knowledge of pricing models, stochastic calculus, stochastic processes, and numerical analysis.
• Proficiency in Excel and C++.
• Experience with Murex is beneficial.
• Strong written and verbal communication skills; ability to work independently.
• Flexibility to adapt to changing priorities while meeting long-term project deadlines.

Why should you join us?

ICBC Standard Bank Plc (ICBCS) is a leading financial markets and commodities bank, driven to deliver the right outcomes for our stakeholders, clients, counterparties and markets. We benefit from a unique Chinese and African parentage and an unrivalled global network and expertise. We’re headquartered in London, with operations in Shanghai, Singapore and New York.

We’re a diverse and close-knit global team. We put people first, giving talented, self-driven professionals the flexibility, rewards and freedom to grow their expertise and realise their potential.

Our vison statement, “Be Yourself, Succeed Together” underpins our drive for an open and transparent culture which values difference, enabling everyone to thrive whilst being themselves. We have an active E, D&I forum and we’re growing other employee network groups, including for women and neurodiversity.

We’re committed to the principle of equal opportunities. All applicants will be treated equally and will be considered on their merits and skills without discrimination.

What’s in it for you?

• Financial – market-based pay based on skills and experience, discretionary annual bonus, pension contribution 10% (employee contribution 5%), travel insurance, life assurance and income replacement insurance.
• Hybrid working – the option to work remotely up to two days per week, depending on the role.
• Family - 6 months fully paid maternity leave and enhanced shared parental leave. Coaching for family leave returners and access to emergency care via My Family Care. Miscarriage and menopause policies.
• Wellbeing - private medical insurance, Bike2Work scheme, health and fitness subsidy, holiday exchange and an Employee Assistance Programme.
• Community – paid volunteering leave and Give As You Earn scheme. Vibrant CSR and engagement forums and fundraising for our charity partners.
• Development – a suite of opportunities to build the skills you need to excel in your role

If you’re excited about becoming part of our team, get in touch. We’d love to hear from you!

ICBCS has appointed Robert Walters Outsourcing (RWO) to manage its recruitment process and Preferred Supplier List (PSL). Unsolicited CVs sent directly to ICBCS or its staff from non-PSL agencies will not be accepted and no fees will be paid for such submissions.