City of London, London
PCH - Quant Risk_1604500544
21 days ago
My client, a multinational bank is looking for a Traded Risk Model Validation Quant Analyst to join their team based in London.
This role will contribute to the validation and the review of the models impacted by the firmwide LIBOR Transition Project.
These models include valuation models for Interest Rate, Inflation, Equity and Property derivatives but also market and counterparty credit risks models such as Stress Testing, VaR and XVAs models.
What you will be doing:
- Support on the LIBOR transition program deliverables.
- Conducting independent reviews of the newly developed models and methodologies.
- Performing a theoretical challenge of the proposed models and analyse the impact of different approaches.
- Developing/implementing validation tools and models for the Internal Validation Team library.
- Reviewing developers' technical documentation to assess compliance with model risk policy.
- Ensuring that models are fit for purpose and in accordance with company strategy.
- Creating a validation reports following an assessment of model foundations and performance.
- Presenting main validation findings to management and approval committees
- Following the firm's model risk policies and governance.
- Ensure that models are adequate under current and planned regulatory framework.
What we are looking for:
- 2 to 3+ years relevant experience in a Quantitative Analyst role (either in model validation, model review or model development)
- Degree level education in a quantitative field such as Mathematics, Actuarial, Statistics, Mathematical Finance, Data Science, Operations Research, Quantitative Economics or Engineering; postgraduate qualification/PhD would be advantageous.
- A working knowledge of Python and Matlab is a benefit. Knowledge of SQL, VBA, R, SAS, C++, Latex, git and/or any other programming language or statistical software will be advantageous.
- Appreciation/knowledge of regulatory compliance requirements such as Basel II, IAS19, IFRS9, FRTB, SS3/18 would be desirable.
- Track record of successful delivery in an actuarial analysis or modelling role and experience of interpreting and writing technical documentation
- Senior stakeholder management, presentational skills, good communication skills, self-motivated and independent individual
For more details, please send your CV to firstname.lastname@example.org
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.