Description
Model Developer - Global Risk Analytics
One of the worlds leading Financial institutions is looking for a Model Developer to join their team on an initial 6 month contract.
You will be responsible for supporting the development and maintenance of risk models and methodologies for more accurate traded risk measurement and management.
You should be able to:
- Develop new models in Fixed Income as per risk and regulatory requirements
- Contribute to the improvement of these models through assignment of impact, model validation and helping document changes.
- Understand business and regulatory requirements, ensuring models are fit for purpose.
Responsibilities include the ability to:
- Assess and validate the performance of risk models using real life data
- Risk models may include Value-at-Risk (VaR), Stressed VaR, Risk not in VaR (RNIV), Incremental Risk Charge (IRC), Hair-Cuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB) and Capital Models.
- Build Python based prototypes and risk library
- SAS based modelling and ETL, using Matlab for implementation
The role is paying up to £550 a day and is inside of IR35.