Risk model validation
2 settimane fa
Excellent opportunity to join a growing business with significant momentum in the market place. The risk team are building a new structure and set up, covering new products and responsibility. You will gain a view across a range of trading venues and work with Equities, Derivatives, Commodities and Fixed Income.
The role is working in the model validation team, where you will perform an annual validation. Rebuilding the models and working with real data.
Validation of risk models used for measuring market , credit risk, and liquidity risk Knowledge and experience of Va R and Expected Shortfall Strong knowledge of financial markets and how products behave under various conditions, taking into account the pricing and risk
Strong English language skills and ensuring quality of writing is essential
Masters Degree, Ph D or CQF - covering a quantitative field
Developing and programming alternative models to challenge risk models in use
Python and Matlab are preferred - with Python being the key Design and development. Sensitivity Analysis, stress testing and backtesting
Operational risk management and reporting to top management
Key Risk Indicators: development, monitoring, and challenge
Monitoring and reporting of Basel III parameters for CCR
Second level controls on investments
Prepare reporting to internal and external stakeholders
Smart working on offer, with weekly time in the office, competitive salaries, bonus and benefits.
Please apply now to be part of an organisation making waves internationally
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