Model Validation Quantitative Analyst (contract)

• Validation of quant models, initially in IRB Credit Ratings and FRTB IMA space.
• 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

Experience required:

• Experience in risk-modelling (model development or validation)
• Knowledge of IRB credit risk models
• Knowledge of Market risk modelling and of FRTB
• Experience with other risk models (Economic Capital, Stress Testing, etc.)
• Experience with Derivatives pricing models

Competencies:

• Strong background in Math and Probability theory - applied to finance
• Good knowledge of Data Science and Statistical inference techniques
• Good programming level in Python or R or equivalent
• Good understanding of financial products
• Computer simulations and numerical approximation methods
• Awareness of latest technical developments in financial mathematics, pricing, and risk modelling
• Modelling and pricing of financial derivatives
• Experience with C++ or C# or equivalent
• Up-to-date knowledge of regulatory capital requirements for market and credit risk