Description
Senior Quantitative Analyst - Tier 1 Bank - CCAR
My client, a Tier 1 Bank, is looking for Senior Quantitative Analysts to join on a contract basis. You will be responsible for researching, developing and maintaining behavioural models and IT infrastructure related to CCAR regulatory requirements The ideal candidate be strong in either C++ or Python
Key responsibilities:
- Design, build and deliver robust and production quality behavioural models and code
- Ensure models are fit for purpose and support the strategic plans for business
- Provide assurance that models meet regulatory requirements
- Support enhancements in model validation and model risk management
- Delivery of model performance and validation KPIs working closely with the off-shore team GAC Model Validation and Traded Risk Control
- Pro-active engagement with stakeholders on model performance and remedial actions
- Participate in global initiatives as well as cross-risk projects
Key requirements
- University degree and/or Ph.D. in a quantitative field
- Extensive Risk Modeling
- Good practical understanding of stochastic calculus, econometrics and familiarity with sophisticated tools for numerical analysis
- Good practical understanding of financial derivative products of different asset classes
- Relevant working experience in a bank, consultancy or advisory firm (2-5 years), including development, validation or control of traded risk models.