Model Validation Specialist
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Salary £70,000 - £85,000 per annum
Location City of London
FULL_TIMEConsultant Harry McBroom
JobRef 50824083/001
Date posted 02 August 2022
london banking-financial-services/quantitative 2022-08-02 2022-10-01 banking City of London London GB GBP 70000 85000 85000 YEAR Robert Walters https://www.robertwalters.co.uk https://www.robertwalters.co.uk/content/dam/robert-walters/global/images/logos/web-logos/square-logo.pngThis role is for a multinational investment bank and financial services company based in Central London.
You will be working within the Stress Testing team, which is responsible for model risk management for the model used for Market Risk.
Key Responsibilities:
- Review and challenge the mathematical soundness of the model set in place.
- Challenge and review the methodologies use to revalue positions and generate scenarios.
- Engage with owners and model developers to communicate n a structured manner with wider model risk stakeholders on every aspect of the model risk management life cycle.
- Participate in on the ongoing review of model performances.
Skills / Experience:
- Qualification within Physics, Statistics or Mathematical.
- Solid background within stochastic calculus.
- Understanding of VAR methodologies and stress testing.
- Experience in Python (is a bonus)
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