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Quantitative Risk Analyst - Model Validation

Church International Ltd.

Posted on Oct 9, 2021 by Church International Ltd.

London, United Kingdom
Immediate Start
£700 - £800 Daily

An exciting opportunity has arisen to join one of the biggest names in global professional services. This organisation is currently supporting one of its clients on a market risk initiative programme. We are looking for a well-experienced Quantitative Risk/Model Validation expert to support their client in market risk model development and management.

The models being validated for the scope of this RFP are: Risk models - IMA (Market risk), such as (but not limited to):

  • Improvement to P&L Approximation Functions (eg Inclusion of Inflation Gamma, Inclusion of FX Cross-Gamma, Inclusion of IR-CR Cross-Gamma for bond options, Review or IR/IR Vol Cross-Gamma).
  • Rates VaR, Rates Volatilities VaR, Inflation VaR, and FX VaR.
  • Expected Shortfall and Stressed Expected Shortfall.
  • Risk Factor Eligibility Test.
  • DRC

Model Development key activities include:

  • Assisting in IMA/IMM risk measurement model development.
  • Supporting work on readiness for Fundamental Review of the Trading Book (FRTB), Risk-Free Rate (RFR) and Standardised Approach for Measuring Counterparty Credit Risk (SA-CCR).
  • Supporting efforts on Risks Not in VaR (RNIV) remediation.
  • Interface with Model Risk (ie model validation function).

Model Management key activities include:

  • Support quarterly backtesting and related regulatory compliance for VaR Model and IMM Credit.
  • Reporting to Model Risk committees.
  • Annual IMM Ongoing Model Review diagnostics and reports.
  • Supporting Risk not in Model' identification through analysis.

Relevant skills set:

Quantitative Finance -

  • Basic Financial Theory: Interest rates, time series, portfolio construction, Stochastic calculus, use of probability distributions, etc.
  • Financial Markets: General and asset-class specific understanding (IR, FX, and Credit).
  • Financial instruments and their pricing: Bonds, Forwards, Futures, Swap, Options.
  • Basics of Financial Analysis (curve-building, forward prices, implied volatilities).
  • Risk concepts (Greeks, Hedging, VaR, P&L explains, Counterparty Exposures, etc.).

Data and Programming -

  • Excellent data literacy is essential. Depending on the current practice in the specific team this may include various levels of programming in C++/C#/F#, and increasingly a proficient level of Python, Excel, and LaTeX.
  • Working knowledge of numerical methods and related topics (Monte Carlo and Historical simulation, time series models, applied statistics/probability/econometrics, etc.).

Market Risk Models -

  • Familiarity with model regulation, eg the standardised and Internal Model Approach (IMA) that the bank can use to manage Market Risk and its associated capital requirements, and the Fundamental Review of the Trading Book (FRTB).

Counterparty Credit Risk (CCR) Models -

  • Familiarity with model regulation, eg the standardised and Internal Model Method (IMM) that the bank can use to manage CCR and its associated capital requirements. Familiarity with the closely related models, eg SIMM or XVA, can also be useful.

Church International Ltd (CIL) acts as an employment business for temporary positions and an employment agency for permanent positions. CIL is a committed equal opportunities employer. By applying for this job you accept the T&C's, Privacy Policy, and Disclaimers which can be found on the website.

Applicants must be eligible to live and work in the specified location.

Reference: 1352338267

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