Risk Analyst - Quantitative Analyst - Graduate Role

Posted 10 July by KennedyPearce Consulting Easy Apply

JOB PURPOSE

The Model Risk Analyst is a member of the Risk Oversight Team at ICE Clear Europe. The Risk Oversight Department is a second line risk function which facilitates setting risk boundaries and provides independent risk oversight to the business. It is proactive in identifying, assessing and independently escalating risks when necessary.

DUTIES AND RESPONSIBILITIES

  • Overseeing the risk management practices of first line departments;

  • Reviewing, peer-reviewing, validating and assessing models, including documentation, model usage, data integrity, regulatory compliance, performance, reporting and governance;

  • Provide quality assurance of model validations and risk models;

  • Soliciting, collating and reviewing feedback from other departments and committees as part of the validation process;

  • Ensuring a sound model governance framework is in place;

  • Research and guidance on industry best practice risk governance and models

  • Presenting findings to model owners and senior management;

  • Acting as an expert sounding board on risk matters, providing support to other team members;

  • Contributing content in production of reports and dashboards;

  • As required, undertake ad hoc projects which may extend beyond a strict validation categorisation.

PERSON SPECIFICATION

Essential

  • A degree in a numerical discipline (i.e., mathematics, statistics, physics, etc.);

  • Professional experience within risk modelling or risk validation;

  • Sound technical understanding of financial risks (i.e., market risk, counterparty risk, liquidity risk, etc.);

  • Strong analytical skills, both qualitative and quantitative;

  • Teamwork and a collaborative attitude;

  • Ability to present complex issues in a clear and concise manner;

  • Confidence and the ability to provide challenge if required;

  • Excellent written and spoken English.

Desirable

  • Post-grad degree in a numerical discipline (i.e., mathematics, statistics, physics, etc.);

  • Professional experience in CCP model risk management practices, validation techniques and requirements;

  • Experience with time series statistical models (e.g., GARCH, EWMA, Seasonality, etc.), market risk models (e.g., Value at Risk, Historical Simulation, Filtered Historical Simulation, etc.) and derivatives pricing models (e.g., Black and Scholes, Binomial, SABR, etc.);

  • Familiarity with the three lines of defense model;

  • Expertise of reproducible research tools (for example: Latex, Markdown, Jupyter notebooks);

  • Data Science experience, Python, R and SQL Skills.

Required skills

  • Model Risk Analyst - Quantitative Analyst - Graduate

Reference: 35599719

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