Market Risk & ALM Model Validation - VP/SVP, London

City of London  ‐ Onsite
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Keywords

Description

One of our Tier-1 Corporate & Investment Banking clients are currently in search of an experienced quantitative risk modelling practitioner, with particular experience in Market Risk Model & ALM Model Review.

Responsibilities of this quantitative practitioner are primarily those of providing; effective and independent oversight on ALM & Market Risk models inc. Value at Risk (VaR) and Potential Future Exposure; evaluating the design, calibration, validation and governance of Market Risk & Asset Liability models; offering input on the development, selection, review, back-testing and stress testing of ALM & Market Risk Models.

Qualifications and experience of the successful quantitative profile will include; an academic background relevant to quantitative risk modelling, experience of market risk model design, development, calibration, review and stress testing - ideally also including experience of market risk & ALM model oversight and governance. The successful candidate will also have strong knowledge of the regulatory quantitative risk modelling. Coding experience C/C++ or R advantageous.

The successful candidate ought to expect to receive a fantastic opportunity to cover quantitative risk matters at Group level and constantly be exposed to developing relationship with senior stakeholders, and using those relationships to influence and provide an advisory service so as to develop and enhance the function development and enhancement of the Market Risk & ALM Model Review function.

Location: London

Salary: £90,000 - £110,000 + cash benefits & bonus

To apply, please forward a copy of your CV for consideration. If short-listed, a consultant will be in touch to discuss further*

*closing date 14/11/14
Start date
11/2014
From
Real Staffing
Published at
31.10.2014
Project ID:
800180
Contract type
Permanent
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