Director - Model Validation, Interest Rates

Director - Model Validation, Interest Rates page is loaded Director - Model Validation, Interest Rateslocations: London, United Kingdomtime type: Full timeposted on: Posted Todayjob requisition id: R LSEG (London Stock Exchange Group) is more than a diversified global financial markets infrastructure and data business. LSEG creates possibility across the financial markets, with a commitment to excellence in delivering the services customers expect, through dedicated, open-access partners. LSEG is a systemically important part of the global financial system. It is the UK's second largest financial services business by market capitalisation, and in the top 10 of the FTSE 100. A major financial information provider, with extensive experience, deep knowledge, and worldwide presence across financial markets, LSEG enables businesses and economies around the world to fund innovation, manage risk and create jobs. LSEG has contributed to supporting the financial stability and growth of communities and economies globally for more than 300 years. Through a comprehensive suite of trusted financial market infrastructure services - and its open-access model - LSEG provides the flexibility, stability and trust that enable their customers to pursue their ambitions with confidence and clarity. LSEG is headquartered in London, with significant operations in 70 countries across EMEA, North America, Latin America, and Asia Pacific. The Group employs 26,000 people globally, more than half located in Asia Pacific. LSEG's ticker symbol is LSEG. The core values of the business are integrity, partnership, excellence, and change. OUR PURPOSE: LSEG is critical to the global economy and is a high growth company with a recognised track record in innovation and disruption. The company has demonstrated its successful strategy as shown in its strong financial performance. Post the Refinitiv acquisition, LSEG has shifted from a period of integration to transformation. The Group is a proven innovator with its market leading strategic partnership with Microsoft enabling next-gen data, analytics and cloud infrastructure solutions. It is uniquely positioned to capture growth opportunities stemming from four key market trends: digitalisation, sustainability, capital optimisation and operational resilience. LSEG operates across five divisions: Data & Analytics: delivering data-driven insights, indices, and products to customers simply and flexibly so they can make better-informed decisions. FTSE Russell: delivering category defining indices across asset classes and investment objectives to create new possibilities for the global investment community. Risk Intelligence: providing a comprehensive suite of screening, due diligence, verification and onboarding solutions, helping customers protect their businesses from a wide range of threats. Markets : supporting customers across the end-to-end capital markets workflow, providing them with access to liquidity across multiple asset classes and regions; supporting their clearing and reporting obligations; and providing risk and balance sheet solutions. OUR PEOPLE: People are at the heart of what we do and drive the success of our business. Our values of Integrity, Partnership, Excellence and Change shape how we think, how we do things and how we help our people fulfil their potential. We embrace diversity and actively seek to attract individuals with unique backgrounds and perspectives. We break down barriers and encourage teamwork, enabling innovation and rapid development of solutions that make a difference. Our workplace generates an enriching and rewarding experience for our people and customers alike. Our vision is to build an inclusive culture in which everyone feels encouraged to fulfil their potential. We know that real personal growth cannot be achieved by simply climbing a career ladder - which is why we encourage and enable a wealth of avenues and interesting opportunities for everyone to broaden and deepen their skills and expertise. As a global organisation spanning 65 countries and one rooted in a culture of growth, opportunity, diversity and innovation, LSEG is a place where everyone can grow, develop and fulfil your potential with meaningful careers. MODEL RISK MANAGEMENT TEAM: LSEG Model Risk Management (MRM) is a centre of excellence within Group Risk, independently overseeing model lifecycle. This includes the validation of models (assessing their conceptual soundness, the validity of the assumptions, robustness of the design/calibration, adequacy of the purpose and use, and the accuracy of model output), oversight of model use, review and challenge of the 1LOD model performance monitoring and maintenance of a model inventory. MRM covers a diverse array of model types across all asset classes and all LSEG's divisions, driving harmonization and consistent standards across the organization. Our validation approach is adjusted to the model group/type/risk rating and is guided by the established policies and industry best practices. Role Purpose As the Group's coverage grows in footprint and complexity, Group Risk is expanding its Model Risk Management function. The Model Risk Management Director will work on conducting the validation and independent review of Pricing and Risk models across LSEG to provide independent assurance that covered models are fit for purpose. Key coverage areas are: Rates suite of models underlying Price-It, AdFin, Yield Book and Acadia Libraries Fixed Income pricing and curve construction models Risk margining models Pricing tools for the Group's Post Trade division Key Responsibilities: Lead the validation of structured, flow rates, and curve construction models, assessing mathematical and technical considerations in models and quantitative methods, developing internal benchmarks, identifying and escalating risks and issues in the assessed models, effectively documenting the testing and conclusions and generate validation reports Lead all Model Risk Committee and WG work related to Rates models Design / review and challenge ongoing monitoring for relevant models, assessing and quantifying effective controls, tests and associated thresholds for model performance Engage with 1LOD key stakeholders (model developers, owners and users) throughout the model life cycle, leading communication of relevant model issues to senior management and preparation of associated MI Lead model governance embedding across LSEG in the Rates space and assess applicable regulatory requirements Supervise junior team members (in Bucharest) on the validation of Rates models, providing guidance on modelling approaches, validation techniques, and effective challenge standards Skills and Experience: Required: 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 Rates quant experience; Interest Rates pricing models and Interest Rates curve construction methodologies Good coding skills within a professional environment (Python, R, C/C++, SAS) Strong analytical and problem-solving skills, good attention to detail, solid writing skills Strong communication skills, ability to adapt to the audience, and communicate complex model issues clearly and effectively to senior management Recognised leadership skills, effectively exercising and expending span of influence Consistently delivers on commitments and has a collaborative mindset Desirable: Working experience or exposure to Eikon or Yield Book libraries Knowledge of margin models and CCP regulatory