Quantitative Risk Analyst - Model Validation

VTB Capital
Closing date
6 Jul 2021

Job Details

Principal Accountabilities
  • Validation of derivative pricing and risk models both for in-house and vendor analytics
  • Further development of QRM model test suite; analysis and sign-off on regression testing of derivatives pricing during system releases
  • Model Risk Management including building up a group-wide Model Inventory and reviewing model risk
  • Analysis and signoff on deal representation and pricing of scripted derivative transactions
  • Providing quantitative expertise to the ongoing activities of the Risk Management
  • Maintaining regular and informative communication with Head of Quantitative Risk and Front Office quants.

Key Competencies & Qualifications
  • Higher quantitative degree, preferably in Physics, Maths, or Engineering.
  • Proven track record in one or more of the following areas in an investment banking environment:
  1. Model validation
  2. Model development
  3. Counterparty or market risk analysis for derivatives
  • Strong knowledge of pricing and risk models and ability to test derivative pricers;
  • Solid quantitative skills;
  • Wide product knowledge across a range of asset classes;
  • Programming ability, preferably in C#;
  • Outgoing and engaging;

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