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About the Role

An opportunity has arisen for a motivated applicant to join the Model Risk Office at Lloyds Banking Group. This role is part of the Markets & AI Modelling team, focusing on pricing models, counterparty risk models, and AI technology, providing independent review and challenge of derivatives pricing models.

Responsibilities

• Deliver in-depth theoretical assessments of pricing models across various asset classes.
• Independently benchmark Front Office pricing models using C++ and Python.
• Perform qualitative analyses and stress tests to measure model performance.
• Compile comprehensive validation reports that clearly detail your findings and recommendations.
• Develop, enhance, and maintain internal tools that support and streamline the model validation process.

Requirements

• A Master’s degree or higher in a quantitative discipline (e.g., Mathematics, Physics, Quantitative Finance) or equivalent experience in a quantitative role.
• A solid theoretical understanding of, and familiarity with, derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo methods.
• Excellent problem-solving and time management skills.
• Strong written and verbal communication skills, with the ability to articulate complex mathematical concepts clearly and concisely.
• The ability to work independently, meet deadlines, and perform well under time pressure.

Skills

• C++
• Python
• Derivative pricing models
• Stochastic calculus
• Partial differential equations
• Monte Carlo methods
• Model Validation
• Front Office Quant role
• Financial derivatives
• Risk modelling

Location

• London

Work Type

• Hybrid Working
• Job Share
• Full-time

Experience Level

• Prior experience in a Model Validation or Front Office Quant role.
• Programming experience in C++ and/or Python including library architecture design.
• Strong understanding of financial derivatives and risk modelling.
• Ability to critically evaluate model performance and identify limitations.
• Familiarity with regulatory expectations related to model risk.

Education Level

• Master’s degree or higher in a quantitative discipline (e.g., Mathematics, Physics, Quantitative Finance) or equivalent experience

Salary/Compensations

• £65,304 - £72,560

Benefits

• A generous pension contribution of up to 15%
• An annual performance-related bonus
• Share schemes including free shares
• Benefits you can adapt to your lifestyle, such as discounted shopping
• 28 days’ holiday, with bank holidays on top
• A range of wellbeing initiatives and generous parental leave policies

About the Company

• We’re transforming at pace. Investing billions in our people, data and tech to change the way we meet the needs of our 28 million customers.
• At Lloyds Banking Group, we're driven by a clear purpose; to help Britain prosper. Across the Group, our colleagues are focused on making a difference to customers, businesses and communities.
• We're focused on creating a values-led culture and are committed to building a workforce which reflects the diversity of the customers and communities we serve. Together we’re building a truly inclusive workplace where all of our colleagues have the opportunity to make a real difference.

Equal Opportunity

• We offer reasonable workplace adjustments for colleagues with disabilities, including flexibility in office attendance, location and working patterns.
• As a Disability Confident Leader, we guarantee interviews for a fair and proportionate number of applicants who meet the minimum criteria for the role with a disability, long-term health or neurodivergent condition through the Disability Confident Scheme.