Risk Model Validation Specialist

4 weeks ago


London, United Kingdom Solytics Partners LLC Full time

We are seeking a highly skilled Risk Model Validation Analyst to join our team. The ideal candidate will have expertise in Python programming and a deep understanding of risk models, including Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Haircuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB), and Capital Models. The candidate will be responsible for validating risk models, proposing validation approaches, identifying target market data, and executing validations within agreed timelines.

Experience

5+ Years

Location

London

Type

Onsite

Roles and responsibilities

  • Validate risk models using Python, including both existing and new models.
  • Understand the features, assumptions, and limitations of the models.
  • Propose validation approaches and identify target market data for validation purposes.
  • Undertake validations within agreed timelines.
  • Build Python-based prototypes and risk libraries.
  • Participate in ad hoc projects and provide information in a prompt and coherent fashion.
  • Collaborate with cross-functional teams, including Risk Management, Quantitative Analysis, and IT, to ensure alignment on model validation objectives and outcomes.
  • Conduct thorough documentation of validation methodologies, results, and findings in compliance with regulatory standards and internal policies.
  • Present validation findings and recommendations to senior management and stakeholders, communicating complex technical concepts in a clear and understandable manner.
  • Stay abreast of industry best practices, emerging technologies, and regulatory developments in risk modeling and validation, incorporating relevant insights into validation processes and frameworks.
  • Bachelor's/ Master’s degree in a quantitative field such as Mathematics, Statistics, Finance, or a related field. Advanced degree preferred.
  • Proficiency in Python programming language.
  • Strong understanding of risk models, including VaR, Stressed VaR, RNIV, IRC, Haircuts, EEP, Stress Testing, FRTB, and Capital Models.
  • Experience in model validation or a related field.
  • Excellent analytical and problem-solving skills.
  • Strong attention to detail.
  • Ability to work both independently and as part of a team.
To apply send your resume / cover letter to

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