Credit Risk- Model Validation Credit Risk- Model Validation …

Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 03 Dec 21
Negotiable
Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 03 Dec 21
Negotiable
A Leading UK based Bank is looking for an experienced Model Validator to add to their Market risk division in London. You will be responsible for validating the banks VaR/IRC and FRTB models.
  • Responsible for the review and validation of the Banks market risk models (VaR/IRC/SIMM/FRTB)
  • Analysis and development of the banks internal models, as well as ensuring they comply with the regulation guidelines.
  • Perform an in-depth quantitative analysis and the independent testing of the bank's market risk models.
  • Communicating findings to senior business management and stakeholders.
  • Document model validation on modelling issues.

Key requirements of the role include:

  • A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent
  • Experience working in a Model Validation.
  • Minimum 5 years' experience working in a financial, building and/or validating risk models
  • Strong knowledge working with Market Risk models.
  • Experience programming and coding Excel, VBA and C++ is essential.
  • Willing to be based in London.
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