Risk Model Validation

1 settimana fa


Lazio, Italia Taylor Root A tempo pieno

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 riskStrong English language skills and ensuring quality of writing is essentialMasters Degree, Ph D or CQF - covering a quantitative fieldDeveloping and programming alternative models to challenge risk models in usePython and Matlab are preferred - with Python being the key Design and development. Sensitivity Analysis, stress testing and backtestingOperational risk management and reporting to top managementKey Risk Indicators: development, monitoring, and challengeMonitoring and reporting of Basel III parameters for CCRSecond level controls on investmentsPrepare reporting to internal and external stakeholdersSmart 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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