Company: One of the Top Investment Bank
Role: Quant/Model Validation
Experience: 1-3 yrs
Education: Qualified : Degree in mathematics, physics or engineering and expected to be a Masters or PhD in one of those areas or finance
Analysts in the Risk Model Validation will perform projects to periodically review all aspects of the models in scope. Model validation reviews typically include:
- Investigating key aspects of each model under review: the choice of model, its correct implementation and optimal use of the model
- Participation in working groups addressing modelling issues and the model control environment
- Reviewing the issues, assumptions and limitations of the proposed modelling approach.
- Backtesting alternative models to evaluate and compare their performance with historical simulations
- Reviewing findings with colleagues in different groups including trading, model developers and risk managers
- Developing appropriate controls to mitigate for model risk and residual uncertainty
- Documenting the testing performed: theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implications
In conducting the review the analysts will perform some computationally intensive work, including
- developing, maintaining and running test spreadsheets for different aspects of the models
- setting up and running historical backtesting scenarios,
- generating, extracting and structuring risk and value data from Front Office systems
- implementing numerical algorithms and automating testing processes in VBA and C++
Hands-on experience of relevant modelling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of financial and derivative products and mathematics, from private study if they have not worked in the financial sector.
Programming experience in VBA or C++ and knowledge of programming concepts would be an advantage.
If you would be interested in this position, please send your latest resume and salary details on email@example.com
Reason for Change