Traded Risk Model Validation Quant, AVP

Competitive
Permanent
London
14 Mar 2019
BBBH709821

Global investment bank seeks AVP level Quant Analyst as part of their expanding Traded Risk Model Validation division.

The team is responsible for the quantitative review and challenge across all models used in the context of the bank's trading activity including pricing models, market risk models, counterparty credit risk models and finance models.

The role holder will be responsible for performing and documenting high-quality and in-depth analysis and testing of all models used to risk-manage the banks trading activities, including market risk models, counterparty credit risk models, pricing models as well as performing and documenting reviews of other related model types when required.

  • The role holder will be expected to contribute toward the continuous improvement in efficiency and effectiveness of the processes that they are involved in.
  • The role holder will be expected to write high-quality reports to be shared with senior stakeholders and financial regulators.
  • The role holder expected to collaborate with other model stakeholders such as Front Office, Quantitative Analytics, Market Risk, Counterparty Credit Risk, Line Product Control, Independent Valuation Control, and Regulatory Liaison.
  • The role holder will be expected to clearly and concisely communicate complex ideas and concepts to a range of audiences in a variety of circumstances.
  • The role holder will be expected to solve complex modelling problems, both quantitative and qualitative in nature.

Key skills

  • The ideal candidate will have a postgraduate level education in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance.
  • The ideal candidate will have proven ability to obtain a deep understanding of a range of financial modelling approaches and their strengths and weaknesses as well as performing and documenting quantitative testing and analyses.
  • The ideal candidate will have programming experience and familiarity with programming environments such as Python, C++, Matlab, and / or R.
  • The ideal candidate will have strong verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances.
  • The ideal candidate will be a team player with excellent communication skills who is comfortable working against tight short-term deadlines in a dynamic environment.
  • The ideal candidate will have a strong desire to learn and obtain a deep understanding of a range of problem areas and add value wherever possible.
  • The ideal candidate will have a highly rational & logical thought process with a strong attention to detail.

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.

Alex Riedl's picture
Senior Consultant | Risk Management Recruitment
London + 44 20 7092 0103 | ariedl@morganmckinley.co.uk