Risk Model Validation Analyst

 

The Department

The Risk Model Validation Analyst Consultant will work on ensuring that all risk models are validated in line with regulatory requirements and industry best practice. In addition to the BAU validation work, the analyst will also be expected to assist in the development and enhancement of validation tests to ensure that the validation practice is cutting edge.

Independent Risk Validation (IRV) is responsible for the validation of all risk models. This includes market risk models used for regulatory capital purposes, as well as credit, operational and economic capital models which are used for risk measurement and decision-making purposes. IRV works closely with Risk Analytics and front office quants to ensure that all risk models are validated on a periodic basis as well as at inception and changes. IRV provides regular model risk reporting to model oversight committees and the Board.

The client is looking for an experienced consultant in Risk Model Validation, ideally with at least 5-7 years, to come on board and start delivering from day one.

 

Key responsibilities

  • Review of risk model documentation and testing of implementation to assess conceptual soundness, implementation, data integrity, performance and adherence to governance requirements

  • Documentation of validation testing and findings in validation reports, including raising recommendations for model improvements

  • Development of new testing approaches for evaluation of risk models

  • Tracking remediation of validation recommendations

  • Preparation of model risk reporting for model oversight committees and Board

Skills and experience

Candidates should:

  • Have experience coding in one or more of: R, VBA, C++, java, Matlab, python; but technical skills are not the main priority

  • Have experience working with market or counterparty credit risk models (VaR, IRC, PFE)

  • Have an understanding of typical financial instruments traded by IBs and how to value them;

  • Have strong written communication skills with a focus on clearly explaining technical matters; and

  • Keep up-to-date with developments in financial mathematics and risk modelling.

Personal requirements

  • Excellent communication skills

  • A pro-active, motivated approach.

  • A structured and logical approach to work

  • Strong problem solving skills

  • A creative and innovative approach to work

  • Excellent attention to detail and accuracy

  • Strong numerical skills

  • A post-graduate degree in a quantitative discipline (e.g., mathematics, physics, mathematical finance, statistics)

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