Quantitative Risk Modeller - London, United Kingdom - Pontoon

Pontoon

Verified Company

London, United Kingdom

6 days ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Job title:
Quantitative Risk Modeller

Location:
London

Duration: 6 months initially

The role:

The Market Risk Model Risk and Validation (MRAV) team is responsible principally for providing effective, robust and independent oversight of, and challenge and support to, a suite of market risk models.

The job holder will principally be responsible for leadingthe reviews and validation of changes/enhancements to the VaR and IRC models.

Responsibilities:

Perform independent validation of methodologies proposed by the model owners
Perform reviews of testing performed by the model owners and other stakeholders
Perform independent research and analysis, and build alternative models as appropriate
Liaise with stakeholders to get the model methodologies, data, documentation, and tools.
Provide constructive feedback to the model owners to improve the models/analysis
Document the analysis and the conclusions of the reviews to high standards
Present the findings to the management/committee as appropriate
Improve existing documentation related to the models in scope of this engagement
Provide support to team members on other project/workstream

Requirements:

A strong academic background in a discipline relevant to quantitative risk modelling
Experience of market risk model design, development, construction, calibration, validation and stress testing; ideally also including experience of market risk model oversight and governance
Sound understanding of build and calibration of interest rates curves, and volatility surfaces
Practical knowledge of Monte Carlo and historical simulation, time series analysis, statistical analysis, derivatives pricing models, Gaussian copulas and dependency structures
Sound understanding of market risk factors' dynamics (e.g., type of stochastic processes), liquidity, and behaviour in stress and nonstressed conditions
Programming experience (Python, VBA, C++, or R) gained in a commercial environment
Knowledge of financial products and current developments, with focus on Rates and Credit
Practical knowledge of the regulatory requirements
Strong relationship management and influencing skills
A successful track record of delivery of change in market risk modelling
Strong writing and verbal communication

Pontoon is an employment consultancy and operates as an equal opportunities' employer.