Risk Model Validation AVP Risk Model Validation AVP …

Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Competitive
Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Competitive
Risk Model Validation AVP
Global investment bank seeks AVP level Quant as part of their expanding Risk Model Validation team.

Independent model validation of risk quantitative methodologies, both initial and periodic, across all asset classes and risk types (market risk, counterparty risk, credit risk, economic capital, stress testing models, etc. ) and in line with regulatory requirements and industry best practice.

Responsibilities:

Initial and periodic validation of quant models
 Quantitative analysis and review of model frameworks, assumptions, data, and results
 Designing, modelling and prototyping challenger models when required
 Testing models numerical implementations and reviewing documentations
 Checking the adherence to governance requirements
 Documentation of findings in validation reports, including raising recommendations for model improvements
 Ensuring models are validated in line with regulatory requirements and industry best practice
 Tracking remediation of validation recommendations
 Preparation of model risk reporting for Model Oversight Committee and Board

Key Skills
Essential:
 Strong background in Math and Probability theory - applied to finance.
 Good knowledge of Data Science and Statistical inference techniques.
 Good understanding of financial products.
 Good programming level in Python or R or equivalent.
 Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
Beneficial:
 Modelling and pricing of financial derivatives
 Computer simulations and numerical approximation methods
 Experience with C++ or C# or equivalent
 Up-to-date knowledge of regulatory capital requirements for market and credit risk

Experience :
Essential:
 Some experience in Risk methodology (development or validation) in market risk or/and counterparty
credit risk
Beneficial:
 Experience with other risk models (Credit Risk, Economic Capital, Stress Testing, etc.)
 Experience with derivatives pricing models
Education :
 A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance,
econometrics)

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.

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