Model Validation Quantitative Analyst
1 month ago
Responsibilities:
- Validation of FRTB IMA models
- 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
Essential:
- Strong experience in Market risk modelling
- Good knowledge of FRTB IMA models
Desirable:
- Experience of model validation
Essential competency:
- Strong background in Math and Probability theory - applied to finance
- Good knowledge of Data Science and Statistical inference techniques
- Good understanding of financial products
- Good programming level in Python or R or equivalent
Desirable competency:
- Up-to-date knowledge of industry implementations of FRTB IMA
- Computer simulations and numerical approximation methods
- Awareness of latest technical developments in financial mathematics
In our company values we aim for equity at all stages of the recruitment process, please let us know if we can do anything to make the process more accessible to you.
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