Description
Modeller, Quantitative Analyst, Model Validation, Model Review, Market Risk, ALM, Incremental Risk Charge
My client, a leading Banking Group, requires a modeller to work within their Market Risk Model Validation team.
This is a challenging role and will be focussed on the evaluation and review of market risk and ALM models covering VaR, Potential Future Exposure, Incremental Risk Charge and Asset Liability. This will include aspects such as their design, calibration and validation as well as their usage, reporting and governance. Furthermore the successful candidate will also be required to advise risk teams with regards to the most appropriate quantitative estimation, validation and stress testing methodologies to user in their analysis. There will also be an on-going responsibility to assist the team head in developing and enhancing the function to ensure that the work they are doing remains aligned with both internal and external requirements.
In order to be considered for this role you will need to have extensive experience with market risk models, ideally gained from a model validation and review role at a similar institution but people from a market risk model development background will also be considered. An understanding of the regulatory requirements surrounding market risk modelling is also essential, as is a solid quantitative education. An ability to code using C++ or VBA would also be very useful but is not essential.
Aston Carter Ltd is acting as an Employment Business in relation to this vacancy.