Summary

Responsible for the validation of the Algorithmic trading within the London model validation team and reporting to the deputy Head of the model validation team in London.

Key Responsibilities

Validation of Algorithmic Trading developed by the Front Office.

Responsible for the validation of the Algorithms implementation.

Design and perform the tests required to assess the robustness and behaviour of the Algorithm.

Conduct a risk assessment of the Algorithms studied and challenge the monitoring proposed by the FO. Propose alternative/additional risk measures and monitoring if necessary.

Provide support for the Risk Management on the Algorithmic Trading validated by MRA.

Others product lines (Interest rates, Foreign Exchange, Credit derivatives…)

Involved if necessary in the validation processes of other business lines within the perimeter of the Model Validation team of Pricing models (MRA)

Legal and Regulatory Responsibilities

·        Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the London Compliance manual and Compliance policies and procedures as issued from time to time; Financial Security requirements, including, but not limited to, the prevention of Financial Crime and Fraud including reporting obligations to the Money Laundering Reporting Officer.

·        Maintain appropriate knowledge to ensure to be fully qualified to undertake the role. Complete all mandatory training as required to attain and maintain competence.

Essential

Education to degree level, however candidates with the required skill set will be considered.

Strong skills in mathematical finance.

Desirable
A PhD in a quantitative subject is a plus.

Required

Experience in dealing with derivatives and pricing models.
 
Analytical, innovating, rigour, planning, team working.

Good communication skills and writing capability.
 

Required

Good programming skills (Python, Java, or C++...)

Desirable
Knowledge of Algorithmic Trading