Quant Analyst - Model Validation/Risk Management - Investment Bank

Quant Analyst - Model Validation

Opening - Model Risk Management - Validation

Company : Leading Investment Bank

Role & Responsibilities :

- Participate in independent validation reviews across a wide range of core Risk Capital or other business impact full models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review - choice of modeling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.

- Review, verify and validate risk models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring, as well as contribute in the firm-wide model risk and control assessment.

- Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.

Requirement :

- Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, eg. Mathematics, Physics, Engineering, Finance, and probably a Masters or PhD.

- Experience in financial modelling and/or model validation. Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics, from private study if they have not previously worked in the financial sector.

- Client focus and the ability to communicate effectively with senior stakeholders, including the ability to explain complex topics to a diverse range of audiences.

- Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results to strict deadlines.

- Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.