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Multiple headcount - Quant Analyst - Model Risk and Validation
A financial client I am working closely with are urgently seeking for a Model Risk Quant to work remotely
Market Risk models - VAR, IMA.
Market Risk models - IRC.
The role encompasses the technical validation and review of market risk models (including VaR, IRC, pension, ALM and PFE), credit risk portfolio models and other models such as PD models (on an ad-hoc basis). The business is looking for a seasoned quant analyst with experience in model build and model validation within a bank. The particular focus is around VAR/ IMA and IRC. The candidate will be responsible for capturing key risks, analysis of historical data, multi-curve analysis and will have worked as either a front office or market risk quant previously.
Experience of building and validating market risk models
Strong experience of either VAR/ IMA and/ or IRC is essential
Knowledge of curve construction, market data, swaptions, cap flows, SOFRA new products.
Ability to understand historical market risk data.
Strong documentation skills are important due to the regulator requirements on reporting.
Candidates would be expected to hold at least an MSc in a numerate discipline.
Strong VBA is essential, C++ or R would be an added benefit. The majority of technical work is completed in VBA, no library integration.
Strong statistical analysis
Product knowledge or Rates or Credit.
Interviews are being arranged this week so please send your CVS ASAP to be considered. -
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