ERM Model Validation
Salary £60,000 - £75,000 per annum
Consultant Ben Litvinoff
Date posted 12 June 201811 Slingsby Place, St Martin's Courtyard London, WC2E 9AB Robert Walters United Kingdom
Our client has an exciting opportunity within the IRV team for a model validation analyst. This individual will work with the IRV Director to ensure that all risk models are validated in line with regulatory requirements and industry best practice. In addition to the BAU validation work, the analyst will also be expected to assist in the development and enhancement of validation tests to ensure our clients validation practice is cutting edge.
- Review of risk model documentation and testing of implementation to assess conceptual soundness, implementation, data integrity, performance and adherence to governance requirements
- Documentation of validation testing and findings in validation reports, including raising recommendations for model improvements
- Development of new testing approaches for evaluation of risk models
- Tracking remediation of validation recommendations
- Preparation of model risk reporting for model oversight committees and Board
Skills and experience:
- Have experience coding in one or more of: VBA, C++, java, matlab, python;
- Have experience working with market or counterparty credit risk models (VaR, IRC, PFE)
- Have an understanding of typical financial instruments traded by IBs and how to value them;
- Have strong written communication skills with a focus on clearly explaining technical matters; and
- Keep up-to-date with developments in financial mathematics and risk modelling.
- Excellent communication skills
- A pro-active, motivated approach.
- A structured and logical approach to work
- Strong problem solving skills
A creative and innovative approach to work
- Excellent attention to detail and accuracy
- Strong numerical skills
- A post-graduate degree in a quantitative discipline (e.g., mathematics, physics, mathematical finance, statistics)