Description
Quantitative Risk Analyst - Quant Risk Team - Model Validation - SPAN/VaR
Quantitative Risk Analyst required to join the Quant Risk team of a dynamic and growing CCP. This is an initial 12 month contract position paying £400 - £500 per day, based in the City.
Working within the Quantitative Risk team, you will be focussing on model validation related activities, reviewing and improving the existing Model Validation Framework. You will be designing and developing testing strategies to back test and stress test the models, and using your findings to prepare and present at Risk Committees.
Requirements
- Experience within a Quant Risk position carrying out model validation
- Background in Risk modelling (strong Excel, VBA, and Access are required)
- My client is currently changing their risk modelling from SPAN to VaR, so exposure to both would be ideal
- Interest/knowledge around Clearing
- Additional programming skills using Python/Matlab/SQL would be beneficial
This role reports directly to the Head of Quant Risk who we are working closely with. Apply within now if you have the required experience.
Quantitative Risk Analyst - Quant Risk Team - Model Validation - SPAN/VaR
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