Quantitative Analyst, Model Risk Management

Londres, Angleterre, Royaume-Uni

My client, a top tier investment bank is looking for a Quantitative Analyst, Model Risk Management contractor to join their team. This team has global responsibility for the independent risk control, review and validation of models. These include derivative pricing models in all product areas (i.e. interest rates, currencies, commodities, equities, credit, and securitized products), as well as models used for counterparty credit risk (CVA/IMM), market risk, operational risk, and capital and liquidity stress tests.
 

Responsibilities:
• Review, test and independently implement risk, capital and/or stress test models
• Produce written model review reports
• Conduct on-demand analyses of model performance
• Participate in the model control and model risk management processes of the Firm

Requirements:
• Must have strong market risk/counterparty credit risk quantitative model experience

• Must have relevant experience in a similar quantitative model validation/model review role at an investment bank
• Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field
• In-depth knowledge of mathematical finance and statistical techniques
• Ability to program risk and capital models
• Clear thinking, good business sense and judgment
• Strong interpersonal skills
• Excellent oral and written communication skills

 

CVs to phoebe.cheung@eamesconsulting.com