Vacancy detail

Model Risk/Validation Quant Analyst

Location: United Kingdom (London, City of) Type: Permanent Start date: 14/09/2017

Model Risk/Validation Quant Analyst

My client, a top tier investment bank with a global presence, is looking to expand their team within their Model Risk group. This group carries out the reviews of the models used across the firm, while also assessing and mitigating the risks of the more complex models used in valuation, risk measurement, capital calculation and other decision making processes.

Model validation also includes the designing, conducting of experiments and benchmarking against alternative model performances. They work closely with the finance professionals and FO quants, as well as the traders. Team members have great opportunity to be exposed to a variety of business areas, while joining a group that is growing exponentially.  The group is looking to hire at multiple levels.

 

Key Responsibilities:

  • Carrying out model validation and designing model risk measurement activities, for models used to value and risk manage CVA/DVA/FVA valuation adjustments, compute Counterparty Credit Risk (CCR) monitoring metrics and capital requirements.

·                Review and validation of front office derivative pricing models.

·                Implementation of benchmark derivative pricing tools and models (C++).

·                Development of alternative models and methodologies in order to assess model risk.

·                Mentor and provide work guidance to junior team members.

·                Day to day support of stakeholders in all model related questions.

·                Liaise with Trading, Financial Markets quantitative developers and Valuation Control analysts, to ensure speedy review and validation of new models and methodologies.

Requirements:

  • PhD or MS degree in a quantitative areas (Math Finance, Applied Math, Physics, Engineering, Statistics/Econometrics or similar).
  • Relevant experience in quantitative research, model development or model validation of derivative pricing or capital models in a financial institution.
  • Deep understanding of pricing models and their limitations, valuation under the risk-neutral as well as physical measures, hedging and risk management.
  • Programming experience (Python/C++).
  • Excellent analytical and problem solving abilities.
  • Excellent communication skills (written and verbal).
  • Inquisitive nature, ability to ask right questions and escalate issues; risk & control mind-set.

 

 Additional Value:

  • Ideally a good understanding of the counterparty risk space and models used to compute CCR/XVA quantities.

 

If this role matches your experience, please apply, or feel free to get in touch with myself at arif.khan@ansonmccade.com

Reference: AMC/MRVQA/321. To apply for this vacancy: email Arif Khan

Selected vacancies

Anson McCade executive search, London

Big Data Specialist (Analytics...

Ireland (Republic of)
Type: Permanent
£70,000–90,000
More

Anson McCade executive search, London

Security Application Consultan...

United Kingdom (Birmingham)
Type: Permanent
£40,000–85,000
More

Anson McCade executive search, London

Big Data Specialist (Analytics...

United Kingdom (Manchester)
Type: Permanent
£70,000–90,000
More

Anson McCade executive search, London

Rates E-Trading Strat – Asso...

United States
Type: Permanent

More

Anson McCade executive search, London

Automation Test Engineer (Auto...

United Kingdom (London, City of)
Type: Permanent
£50,000–65,000
More

Anson McCade executive search, London

Azure Solutions Architect (SQL...

United Kingdom (Gloucestershire)
Type: Permanent
£85,000–120,000
More

Anson McCade executive search, London

QIS Engineers/Developers –En...

United Kingdom (London, City of)
Type: Permanent

More

Anson McCade executive search, London

Technology Advisory (Transform...

United Kingdom (London, City of)
Type: Permanent
£50,000–65,000
More

Search all vacancies

We provide high-end, niche recruitment services within specific technical and business sectors on a contingency or search basis.