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Model Validation Quant

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Salary £40k to £60k
Type Permanent
Location
Sector Credit & Risk Management
Job Reference T55/TXH/30684
Contact Tim Holbrough
Date posted 21-01-2019

One of the world's largest Corporate and Retail Banking organisations is seeking a Quantitative Analyst to join their Model Validation team in London.

Responsibilities:

• Conducting independent reviews of newly developed and proposed models/methodologies, related to Regulatory and Economic Capital, stress testing, provisions, finance, risk appetite and other risk and non-risk areas

• Providing assurance that highly technical models are fit for purpose, and giving clear guidelines of any weaknesses/restrictions for use

• Reviewing technical documentation describing model development and validation

• Replicating developments, analysing performance and constructing challenger models

• Assessing adherence to the relevant regulatory guidance

• Working independently to deliver validation projects to deadlines

• Writing technical documents describing the validation

Minimum skills and experience required:

• Degree level education in a quantitative field such as Mathematics, Statistics, Econometrics, Mathematical Finance, Economics or Engineering; Postgraduate qualification/PhD would be advantageous; - or Equivalent experience

• Track record of successful delivery in a modelling role

• Proven ability of conducting statistical analysis in a coding environment such as SAS, SQL, R, VBA or Python

• Experience of interpreting technical documentation and producing written reports which convey technical information in an accessible manner, to specific audiences

• Appreciation/knowledge of regulatory compliance requirements such as Basel or IFRS9 is advantageous

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Contact Tim about this job

AVP, Consultant