Market Risk Model Validation

3 weeks ago


London, United Kingdom CRISIL LIMITED Full time

Job Description Sheet
**Job title**

Market Risk Model Validation - SeniorAnalyst

**Location**

London

**Experience**

7-10 years

**Job Duties**

We are looking for an experienced Market Risk model validation senior analyst with sound knowledge of domain understanding and experience in risk model validation & documentation.
- Preparing for internal model governance and regulatory review processes; supporting, coordinating and securing agreement on model design with relevant stakeholders
- Validating the Risk sensitivities calculations across Global markets used for various set of regulatory top of house end use cases like VaR, Limits, 14Q and Market Risk Reporting)
- Documenting in detail the existing risk calculation methodologies and transformation/aggregation logic used to generate data consumed, to a standard compliant with Enterprise Model Risk Policy
- Identification and assessment of materiality of non-standard model choices, calculation methodologies, transformations and aggregation logic
- Model testing/submission of material non-standard items remediated within the scope of the MRA.
- Discussion with Quants & Model owners for clarifications & supporting Junior Analysts
- Establishment of ongoing monitoring routines to reverify documented non-standard choices on a periodic basis.

**Qualification**

**Master in Finance, Financial Engg., Statistics, Mathematics and FRM, CFA desirable**

**Skills Required**:

- 7-10 years of experience & strong understanding of Market Risk domain & strong quantitative skills related to risk modelling
- Strong understanding of Market risk Regulation & the risks metrics like VaR, Stress VaR, Risk Sensitivities, FRTB, CCAR, 14Q
- Experience in model testing & validation documentation
- Exposure to Python programming is desirable.
- Excellent communication and documentation skills to coordinate with business, Quants and technology stakeholders.

**About CRISIL GR&A**: CRISIL Global Research & Analytics (GR&A) is the largest and top-ranked provider of high end research and analytics services to the world's leading commercial and investment banks, insurance companies, corporations, consulting firms, private equity firms and asset management firms. CRISIL GR&A operates from centres in Argentina, China, India and Poland, providing support across several time zones and in multiple languages to global organizations. It has deep expertise in the areas of equity and fixed income research (covering global economies, 150 global sectors and over 3000 global companies), credit analysis, exotic derivatives valuation, structured finance, risk modelling and management, actuarial analysis and business intelligence.

**Job Types**: Full-time, Permanent

**Salary**: £42,864.41-£115,909.68 per year

**Benefits**:

- Company pension

Schedule:

- Monday to Friday

Supplemental pay types:

- Yearly bonus

Work Location: Hybrid remote in London



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