- Responsible for the review and validation of the Banks market risk models (VaR/IRC/SIMM/FRTB)
- Analysis and development of the banks internal models, as well as ensuring they comply with the regulation guidelines.
- Perform an in-depth quantitative analysis and the independent testing of the bank's market risk models.
- Communicating findings to senior business management and stakeholders.
- Document model validation on modelling issues.
Key requirements of the role include:
- A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent
- Experience working in a Model Validation.
- Minimum 5 years' experience working in a financial, building and/or validating risk models
- Strong knowledge working with Market Risk models.
- Experience programming and coding Excel, VBA and C++ is essential.
- Willing to be based in London.
