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Market Risk - Stress Testing

Posted on Jan 24, 2019 by MERJE Ltd

London, London United Kingdom
Immediate Start
£60k - £60k Annual

My client is a Big 4 Consultancy looking for a highly quantitative Assistant Manager to join this growing team. Working with clients and with highly experienced colleagues you will help with clients

Key responsibilities include:

  • Independently validate, test, and challenge stress testing models, in particular, those used for capital, stress loss, revenue or RWA projections - Market Risk
  • Produce clear and high quality written model validation reports
  • Engage with model reviewers in other locations, model developers and owners and communicate the validation outcomes with the relevant stakeholders
  • Benchmark to market best practices
  • Support client proposals
  • Build and maintain strong relationships with clients and industry experts
  • Work effectively in diverse teams within an inclusive team culture where people are recognised for their contribution

The Person

  • Good understanding of stress testing methodologies as well as US, UK and EU regulatory requirements (ICAAP, CCAR, PRA, EBA)
  • Familiar with model validation standards
  • Proficiency in all concepts of the financial derivatives market and hands-on experience with modelling of at least one asset class (i.e. IR, Credit, Equity, Commodity, FX and Inflation) in a professional environment such as Model Development, Model Validation, Quantitative Research and product control, knowledge of Structured Products is particularly beneficial.
  • Clear, concise, and structured writing and presentation skills
  • Self-starter, highly organized and able to leverage resources
  • Strong communication, interpersonal and stakeholder management skills
  • Quantitative Degree (MSc or PhD) in Mathematics, Physics, Computer Science, Financial Engineering, etc;
  • Programing skills and familiarity with statistical software (e.g. R, Python, MATLAB)


  • FRTB and Supervisory Stress Testing (e.g. CCAR) experience
  • CFA, FRM or/and CQF

Reference: 623368534

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