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VaR Methodology VP

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Salary £80k to £120k
Type Permanent
Location London
Sector Credit & Risk Management
Job Reference T55/TXH/26920
Contact Tim Holbrough
Date posted 08-09-2017

Tier 1 Bank seeking VaR methodology VP to join their London office.
Responsibilities:
• Performing in-depth analysis on the bank’s VaR model and engaging in the development of model performance monitoring tools
• Providing analytical support on various model testing and monitoring initiatives
• Producing model performance reports for senior management
• Participating in the development of model monitoring and test tools to extract data and using databases to provide statistical and model performance analysis
• Playing a key role in the investigation process around defects and exceptions, including validation of inputs, exposure and alpha analysis, and documentation.
• Assisting in the production of reporting packages and analysis for senior management, governing committees and regulatory bodies.

Qualifications/ skills required
• 3-5 years experience in a related field
• Graduate degree, ideally in a quantitative discipline
• Experience in data analysis, with strong research and analytical skills.
• Proficiency in the use of Python, SQL, Excel and VBA
• Strong written and oral communication
• Ability to multitask with strong time management skills
• Working knowledge of Var Methodology. Knowledge of IMM models is desirable but not essential
• Prior experience with preparation of testing and issue trending results, and communicating findings/ recommendations to test lead

For applications or enquiries regarding the role, email Tim.Holbrough@BruinFinancial.com

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Contact Tim about this job

AVP, Consultant