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Model Validation Quantitative Analyst (contract)

Goodman Masson
Closing date
27 Dec 2021

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Contract Type
Full Time
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  • Validation of quant models, initially in IRB Credit Ratings and FRTB IMA space.
  • Quantitative analysis and review of model frameworks, assumptions, data, and results
  • Designing, modelling and prototyping challenger models when required
  • Testing models numerical implementations and reviewing documentations
  • Checking the adherence to governance requirements
  • Documentation of findings in validation reports, including raising recommendations for model improvements
  • Ensuring models are validated in line with regulatory requirements and industry best practice
  • Tracking remediation of validation recommendations

Experience required:
  • Experience in risk-modelling (model development or validation)
  • Knowledge of IRB credit risk models
  • Knowledge of Market risk modelling and of FRTB
  • Experience with other risk models (Economic Capital, Stress Testing, etc.)
  • Experience with Derivatives pricing models

  • Strong background in Math and Probability theory - applied to finance
  • Good knowledge of Data Science and Statistical inference techniques
  • Good programming level in Python or R or equivalent
  • Good understanding of financial products
  • Computer simulations and numerical approximation methods
  • Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
  • Modelling and pricing of financial derivatives
  • Experience with C++ or C# or equivalent
  • Up-to-date knowledge of regulatory capital requirements for market and credit risk
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