Risk Model Contractor (Interest Rate & Credit Spread Risks)

Contract: 9 months (Full-time) A leading international financial institution is seeking an experienced Senior Quantitative Analyst / Risk Model Contractor for a high-profile regulatory enhancement initiative.

Senior Quantitative Analyst / Risk Model Contractor (Interest Rate & Credit Spread Risks)

Location: London (Hybrid – three days in office per week)
Contract: 9 months (Full-time)

A leading international financial institution is seeking an experienced Senior Quantitative Analyst / Risk Model Contractor for a high-profile regulatory enhancement initiative. Reporting into Enterprise Risk Management, this role supports the development, simplification, and documentation of models for Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book (CSRBB).

Key Responsibilities

• Develop, modify, and maintain quantitative models and analytics for IRRBB/CSRBB within the QRM system, with focus on both Economic Value of Equity (EVE) and Net Interest Income (NII) perspectives.

• Ensure metrics and outputs are robust, reliable, and aligned with regulatory and management frameworks.

• Produce technical write-ups, committee materials, and documentation to support model governance, internal validation, audit, and senior management review.

• Liaise with teams in Risk, Treasury, Model Risk, and Finance to ensure model coverage, regulatory compliance, and data integrity.

• Support responses to regulatory and internal challenges regarding model scope, metrics, scenario design, and governance.

• Present technical concepts clearly to both technical and non-technical stakeholders.

Essential Skills & Experience

• Advanced degree or equivalent in Economics, Finance, Mathematics, or a quantitative discipline.

• Proven experience in IRRBB, CSRBB, asset-liability management, Treasury risk or capital adequacy modelling for banking/financial institutions.

• Hands-on expertise with QRM (Quantitative Risk Management) and strong Python or R proficiency for risk model analysis and support.

• Demonstrated ability to deliver complex work under time pressure with multiple senior stakeholders.

• Clear writing and presentation skills suitable for risk committee or audit documentation.

• Deep understanding of European regulatory requirements relevant to banking book risks.

Desirable

• Direct involvement in large regulatory or risk enhancement programmes, particularly with ICAAP, stress testing, and capital policy.

• Prior exposure to model validation, audit, or independent risk reviews.

If you meet the above set criteria, please apply or send a copy of your CV to hadjra.sohawon@robertwalters.com

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