Quantiative Risk Analyst
Borsa Italiana Spa
London, United Kingdom
11d ago

Role Title - Quant Analyst - Model Validation, Interest Rates / Securitized product -RMBS / ABS

Reporting to

Group Head of Model Validation

Role Purpose

As the Group’s operations grow in footprint and complexity (including into the analytical space), and the Regulatory burden increases (e.

g. EU BMR), Group Risk has established a new Model Validation (MV) competence. Model Validation is a new and high-profile area for Group Risk.

Quantitative Risk Analyst will work on conducting the validation and independent review of Pricing and Risk models across LSEG to provide independent assurance that the covered models are fit for purpose.

Key areas of coverage are :

  • Fixed Income pricing and curve construction models, risk margining models and pricing tools for the Group’s exchange platforms.
  • Yieldbook suite of models; prepayment, interest rate models, default models for valuation and risk management of securitized product -RMBS, CMBS and ABS
  • Environment

    LSEG’s vision is to be the most trusted expert in global financial markets.This is achieved through leading the world in providing access to capital, helping customers optimise capital resources and promoting trusted and transparent environments and services for investment.

  • LSEG is a diversified international exchange Group that sits at the heart of the world's financial community.The Group operates through four key business divisions;
  • Capital Markets (broad range of international equity, bond and derivatives markets), Post Trade (post trade and risk management services), Global Technology Services (high performance trading platforms and capital markets software) and Information Services (real-

    time and reference data products).

    LSEG prides itself on operating a neutral, trusted, well-regulated and systemically important market infrastructure and does this within a fast paced, real-

    time and highly regulated environment.The Group is accountable to its shareholders, clients, regulators and the societies in which it operates, and the Group Values and Behaviours underpin how the Group meets those accountabilities.


    Budget Responsibility : NA; Direct Reports : 0 ;Indirect Report : NA


    Internal : Dialogue and relationship building with Yiedlbook and other LSEG development and risk management groups


  • Validate LSEG models including fixed income derivatives pricing, Yieldbook model suite (with emphasis on the interest rate and prepayment models), risk models and counterparty credit exposure models
  • Design independent testing functionality for prepayment and risk sensitivities derived by Yieldbook
  • Develop benchmark models (prior experience with rates and / or prepay model development is a plus)
  • Contribute to all aspects of model risk control; identify model issues, design risk’s own ongoing performance assessment, provide high quality model validation documentation and model risk reporting
  • Contribute to establishing LSEG model governance framework
  • Assist risk and business management in all aspects of model risk
  • PersonalQualities &Experience

  • PhD or MS degree in Applied Mathematics, Finance, Statistics, Physics, Engineering or similar.
  • 3-7 years’ experience in a Model Validation, Front Office Quant or Risk Quant role in rates or securitized product (RMBS, CMBS, ABS).
  • Excellent quant experience with rates; interest rates pricing models and interest rate curve construction methodologies
  • Understanding of prepayment and loan loss forecasting modelling
  • Working experience with Yield Book models (preferred)
  • Good coding skills within a professional environment
  • Theoretical understanding and familiarity with derivative pricing and statistical models
  • Excellent analytical and problem-solving skills, good attention to detail. Solid writing skills.
  • People are at the heart of what we do and drive the success of our business. Our colleagues thrive personally and professionally through our shared values of Integrity, Partnership, Innovation and Excellence are at the core of our culture.

    We embrace diversity and actively seek to attract people with unique backgrounds and perspectives. We are always looking at ways to become more agile so we meet the needs of our teams and customers.

    We believe that an inclusive collaborative workplace is pivotal to our success and supports the potential and growth of all colleagues at LSEG.

    A career with London Stock Exchange Group offers you the opportunity to be at the centre of the financial community. As well as competitive salaries and a range of attractive benefits, we maximise each employee’s potential through personal development plans, training, coaching and mentoring.

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