Senior Rates Model Validator
Key Responsibilities
- Independently validate interest rate pricing models, including:
- Interest Rate Swaps (IRS)
- Caps/Floors
- Swaptions
- Bermudan/Callable structures
- Inflation and cross‑currency models
- Review and challenge curve construction frameworks:
- OIS curves
- Multi‑curve bootstrapping
- Forward and discount curve methodologies
- Assess model assumptions, mathematical formulation, and conceptual soundness.
- Build independent benchmark models (Python/C++/Matlab) to replicate or challenge FO models.
- Perform testing of:
- Sensitivities (Greeks)
- Calibration stability
- Numerical accuracy and convergence
- Stress and scenario behaviour
- Document full validation reports including findings, limitations, and required remediation.
- Support ongoing model performance monitoring and periodic re‑validation cycles.
- Present validation outcomes to Model Risk Committees and senior stakeholders.
- Ensure adherence to internal MRM policies and regulatory standards (e.g., SR 11‑7, PRA expectations).
Required Skills & Experience
- Strong knowledge of interest rate derivatives and stochastic interest rate modelling (Hull-White, LMM, HJM, SABR).
- Solid understanding of market data: curves, vol surfaces, calibration inputs.
- Strong programming skills (Python required; C++ preferred).
- Experience in model validation, FO quant, risk analytics, or quantitative development.
- Excellent mathematical, analytical, and documentation skills.
FAQs
Congratulations, we understand that taking the time to apply is a big step. When you apply, your details go directly to the consultant who is sourcing talent. Due to demand, we may not get back to all applicants that have applied. However, we always keep your resume and details on file so when we see similar roles or see skillsets that drive growth in organizations, we will always reach out to discuss opportunities.
Yes. Even if this role isn’t a perfect match, applying allows us to understand your expertise and ambitions, ensuring you're on our radar for the right opportunity when it arises.
We also work in several ways, firstly we advertise our roles available on our site, however, often due to confidentiality we may not post all. We also work with clients who are more focused on skills and understanding what is required to future-proof their business.
That's why we recommend registering your resume so you can be considered for roles that have yet to be created.
Yes, we help with resume and interview preparation. From customized support on how to optimize your resume to interview preparation and compensation negotiations, we advocate for you throughout your next career move.