Quantitative Risk Analyst (contract) - Leading Financial Institution

Recruiter
Orbis Consultants
Location
London (Central)
Posted
09 Feb 2018
Closes
16 Feb 2018
Sector
Accountancy
Contract Type
Permanent
Hours
Full Time

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.

Key Responsibilities

  • 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.

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