Bear Stearns UK - Graduate Opportunity - Model Calidation Analyst, Risk Management - APPLY ASAP!

Graduate Opportunity - Model Validation Analyst, Risk Management

Model Review will play a key role in ensuring the successful deployment of the Bank's advanced modeling capabilities across all of its major lines of business, ensuring that it meets or exceeds industry best practice in model validation.

Bear Stearns is a global investment bank with a $350 billion balance sheet and A+ rating, 27% year-on-year growth in its fixed income business and 30% growth in its institutional equities business.  A major focus for the bank is the expansion of its international business, which saw revenues rise above $1.2 Bn in 2006, having grown 32% from the prior year.  The bank is committed to exporting and adapting key product competencies from the United States to other geographies and is hiring talented professionals to drive the bank's expansion in new markets, from its overseas headquarters in Canary Wharf, London.

Model Review will play a key role in ensuring the successful deployment of the Bank's advanced modeling capabilities across all of its major lines of business, ensuring that it meets or exceeds industry best practice in model validation.  The group has a very high level of visibility amongst senior management in Bank's major lines of business.

The Model Review Function:

The role of the Model Review Function is to bring the development and implementation of valuation and risk analysis models into a structured process for independent review, testing, approval and documentation.

The process includes all the pricing functionality in the firm's trading systems used for valuation and reporting of P&L, sensitivities, limits, reserves etc. Thus models require pre-approval in the following cases:

A new model in a trading system used for booking either a new or already traded product; An already existing in a trading system but yet non-validated model used for booking either a new or already traded products; A previously validated model in a trading system used for booking a new product; A previously validated model in a trading system that is altered.

The process covers some auxiliary functions, such as building yield curves and volatility surfaces. Pre-approval is also required for spreadsheet based models used for pricing new trades with the expectation of being booked as per pricing spreadsheet.

The Model Review Function is undergoing rapid expansion and offers outstanding opportunities to qualified candidates based in the Bank's headquarters in New York and London and at major regional centre's in Houston, Hong King and Tokyo.

The Model Review Process:

In the model validation process the model reviewer examines the scope of the model, the mathematical and financial assumptions, specifics of model input parameters, numerical implementation; full or partial independent implementation is required for benchmarking, calibration techniques, model risk associated with the pricing approach by comparing the model outputs with alternative, calculation of Greeks and model contribution to risk reporting and practical use of the model. The analyst prepares a report of the examination results, conclusions and recommendations which is provided to the quantitative analytics group, the relevant trading desk and to risk managers. Reports are presented for approval to a Model Review Committee comprising heads of quantitative research, IT, risk management and global business heads.

Vacancy information

Date of commencement: Immediate

Location: Canary Wharf

Required work experience: Experience as a quantitative analyst or risk analyst in a major financial institution

Degree required: A PhD in finance, theoretical physics or similar mathematical, engineering or scientific discipline from a leading school (exception for French candidates with top Grande Ecole education)

Salary details: Competitive

Benefits: Competitive

Do you accept applications from students requiring work permits? YES

Application procedures: Please submit a copy of you CV and Covering Letter via our online system

Sectors: Accountancy and financial management, Banking and investment

Contact details

Fiona D'Assisi Bear Stearns International Ltd 1 Canada Square London E14 5AD United Kingdom

Tel: +44 (0)20 7516 5777

Vacancy reference number: 2516