Model Validation Analyst
Consultant Vera Grass
Date posted 27 February 201811 Slingsby Place, St Martin's Courtyard London, WC2E 9AB Robert Walters United Kingdom
An excellent opportunity has arisen for a Model Validation Analyst to join the Independent Risk Validation team (IRV) at a leading global investment bank based in London. The team is responsible for the validation of the bank’s risk models across Market Risk, Credit Risk and Operational Risk. This includes models used for regulatory capital purposes as well as for risk measurement. The function works closely with Risk Analytics and Front Office quant teams.
The Model Validation Analyst will report directly to the IRV Director and contribute to the bank’s validation tests and best practice.
Responsibilities of the Model Validation Analyst:
- Validating all risk models used by the bank and assess implementation, performance and adherence to regulatory requirements
- Documenting the findings from validation testing and providing recommendations for improvements of the models as well as tracking the improvements
- Participating in the development on new testing approaches for risk model evaluation
- Preparing risk model reports for the model oversight committees
The Model Validation Analyst must have:
- A degree (MSc, PhD) in a quantitative discipline such as Mathematics, Physics of Statistics
- Strong coding skills (C++, Python, MatLab, VBA, Python)
- Excellent knowledge and working experience in Market or Counterparty Credit Risk models (VaR, IRC, PFE)
- In-depth knowledge of financial instruments traded by investment banks
- Excellent communication and problem solving skills
If you would like to find out more about the Model Validation Analyst role based in London, please contact Vera Grass on firstname.lastname@example.org or 02075098772.