Quantitative Risk Analyst - Model Validation

Employer
VTB Capital
Location
London, United Kingdom
Salary
Competitive Salary
Posted
May 02, 2021
Closes
Jun 11, 2021
Ref
2080206188
Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Level of qualification
CIMA, Newly qualified, Qualified

Principal Accountabilities

  • Validation of derivative pricing and risk models both for in-house and vendor analytics
  • Further development of QRM model test suite; analysis and sign-off on regression testing of derivatives pricing during system releases
  • Model Risk Management including building up a group-wide Model Inventory and reviewing model risk
  • Analysis and signoff on deal representation and pricing of scripted derivative transactions
  • Providing quantitative expertise to the ongoing activities of the Risk Management
  • Maintaining regular and informative communication with Head of Quantitative Risk and Front Office quants.

Key Competencies & Qualifications

  • Higher quantitative degree, preferably in Physics, Maths, or Engineering.
  • Proven track record in one or more of the following areas in an investment banking environment:
  1. Model validation
  2. Model development
  3. Counterparty or market risk analysis for derivatives
  • Strong knowledge of pricing and risk models and ability to test derivative pricers;
  • Solid quantitative skills;
  • Wide product knowledge across a range of asset classes;
  • Programming ability, preferably in C#;
  • Outgoing and engaging;

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