Description
Roc Search are currently recruiting for a Model Validator for a banking client of ours based in London.
12 Month Contract - ASAP Start - Market day rates - London.
Key Responsibilities:
The successful candidate should ideally have:
Good knowledge of commodities asset class, in particular energy (linear) products.
Hands on experience with the RightAngle system for commodities.
Good knowledge of yield curves.
Experience with working as a quantitative analyst, preferably in model validation.
A good knowledge of regulatory requirements and best practice with regards to model validation and model risk
Excellent document writing skills
Practical model testing skills
Significant hands on experience with valuation models and systems
Good understanding of financial products and Greeks
Model Validation:
Validate commodity valuation and VaR models.
Review the applicability (ie the strengths, weaknesses and limitations) of the valuation models. This requires assessing the accuracy of the model given the bank's business and portfolio.
Review the calibration of the model parameters according to the current economic environment and the Bank's portfolio
Contribute to model governance and model risk processes
Conduct validation in line with sound interpretation of regulatory requirements
Conduct validation with a minimal amount of supervision
Key interfaces:
Establish a strong working relationship with the Quantitative Analysis Department, Front Office, technology and the risk function
Experience:
Good working experience in Excel is essential
Excellent academic credentials in a quantitative field
Excellent quantitative and problem solving skills
A clear independent and effective communicator, persuasive in inter-personal communication
Ability to deliver practical solutions in a demanding high-pressure environment
The successful candidate will be a confident pro-active self-starter, an intelligent lateral thinker and problem solver who is good at dispute resolution
If you have the required skill set and are available to interview and start ASAP please submit your CV and I will be in touch ASAP.