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    Director, Market Risk Model Validation - London, United Kingdom - ICBC Standard Bank

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    Permanent
    Description
    Summary

    :


    • Excellent academic credentials. Masters or PhD degree in a quantitative field are required.
    • Advanced knowledge of quantitative methods such as financial mathematics and statistics.
    • Expert knowledge of model validation and a good understanding of model risk management under PRA regulations are required.
    • Expert knowledge of historical VaR, RNiV modelling and proxy modelling is required.
    • Experience with banking book modelling (IRRBB models) and economic capital modelling is desirable.
    • Good understanding of market risk management.
    • Good high-level cross asset class knowledge of traded products.
    • Good coding skills (preferably C++) and working knowledge of Excel.
    • Experience with Murex as a booking and risk management tool would be beneficial.
    • Good written and verbal communication skills; ability to work independently.
    • Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project-based deadlines.

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