Our client, a leading financial institution, is currently searching for a Quantitative Risk Analyst to work on model validation, ensuring that their stress testing scenarios are comprehensive and testing the valuation models' calibration to the market.
- Maintain and update the model inventory of the organisation's risk department.
- Review and improve the existing Model Validation Framework.
- Validate tier 1 and tier 2 models within the model inventory and ensure validation techniques are appropriate and best practice.
- Design and develop testing strategies to backtest and stress test models and to validate on-going performance of pricing and risk calculation models.
- Assist in model design and development together with the rest of the Quantitative Risk team.
- Assist in preparing papers on model validation findings or other specific issues for Risk Committee and Executive Committee presentation.
- Liaise with independent specialists, regulators, external and internal stakeholders to ensure models are understood within wider risk management framework.
- Involvement in wider risk projects and deliverables as required.
- Provide ongoing support to the overall quantitative risk team as required.
Key Skills and Experience
- Master’s degree or equivalent in quantitative finance, mathematics, economics or related discipline.
- Good level of overall experience of model validation and a strong background in mathematics and risk modelling.
- Experience in model validation (in particular around risk models) and its principles/best practice.
- Commodity markets and its related derivatives market/instruments.
- Mechanics and processes behind clearinghouse risk management.
- Detailed understanding of risk models used in a clearinghouse such as SPAN, VaR, etc.
- Appreciation of the regulatory environment clearing houses are operating in and its requirements on risk management as whole.
- Market, credit, collateral or liquidity risk management principles, such as back testing and stress testing, and valuation of products.
- Strong modeling skills using Excel, VBA, Access are a prerequisite.
- Additional programming skills using Python, Matlab, SQL as advantage.
- Evidence of excellent communication skills, both verbal and written.
- Strong analytical and modelling skills.
- Quantitative Risk
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