Quantitative Risk Modeller

2 weeks ago

London, United Kingdom Pontoon Full time

**Job title**: Quantitative Risk Modeller
**Location**: London
**Duration**: 6 months initially
**The role**:
The Market Risk Model Risk and Validation (MRAV) team is responsible principally for providing effective, robust and independent oversight of, and challenge and support to, a suite of market risk models. The job holder will principally be responsible for leadingthe reviews and validation of changes/enhancements to the VaR and IRC models.

**Responsibilities**:

- Perform independent validation of methodologies proposed by the model owners
- Perform reviews of testing performed by the model owners and other stakeholders
- Perform independent research and analysis, and build alternative models as appropriate
- Liaise with stakeholders to get the model methodologies, data, documentation, and tools.
- Provide constructive feedback to the model owners to improve the models/analysis
- Document the analysis and the conclusions of the reviews to high standards
- Present the findings to the management/committee as appropriate
- Improve existing documentation related to the models in scope of this engagement
- Provide support to team members on other project/workstream

**Requirements**:

- A strong academic background in a discipline relevant to quantitative risk modelling
- Experience of market risk model design, development, construction, calibration, validation and stress testing; ideally also including experience of market risk model oversight and governance
- Sound understanding of build and calibration of interest rates curves, and volatility surfaces
- Practical knowledge of Monte Carlo and historical simulation, time series analysis, statistical analysis, derivatives pricing models, Gaussian copulas and dependency structures
- Sound understanding of market risk factors' dynamics (e.g., type of stochastic processes), liquidity, and behaviour in stress and non-stressed conditions
- Programming experience (Python, VBA, C++, or R) gained in a commercial environment
- Knowledge of financial products and current developments, with focus on Rates and Credit
- Practical knowledge of the regulatory requirements
- Strong relationship management and influencing skills
- A successful track record of delivery of change in market risk modelling
- Strong writing and verbal communication

Pontoon is an employment consultancy and operates as an equal opportunities' employer.

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