Model Validation Quantitative Analyst - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

3 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Responsibilities:

Validation of FRTB IMA models
Quantitative analysis and review of model frameworks, assumptions, data, and results
Designing, modelling and prototyping challenger models when required
Testing models numerical implementations and reviewing documentations
Checking the adherence to governance requirements
Documentation of findings in validation reports, including raising recommendations for model improvements
Ensuring models are validated in line with regulatory requirements and industry best practice
Tracking remediation of validation recommendations

Essential:

Strong experience in Market risk modelling
Good knowledge of FRTB IMA models

Desirable:

Experience of model validation

Essential competency:

Strong background in Math and Probability theory applied to finance
Good knowledge of Data Science and Statistical inference techniques
Good understanding of financial products
Good programming level in Python or R or equivalent

Desirable competency:

Uptodate knowledge of industry implementations of FRTB IMA
Computer simulations and numerical approximation methods
Awareness of latest technical developments in financial mathematics

In our company values we aim for equity at all stages of the recruitment process, please let us know if we can do anything to make the process more accessible to you.