Market Risk Modelling and Capital Methodology Manger

  • 70,000+ 10% cash benefit + 25% bonus
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Aston Carter Ltd
  • 19 Mar 18 2018-03-19

Leading UK is looking for an experienced Market risk professional with experience across model development or validation within banking for a position in their Capital Risk and Methodology Team which has undergone a period of expansion due to increased focus and strong banking performance.

Market Risk Modelling and Capital Methodology Manger

Role requirements:

To analyse all elements of the model risk life cycle and to work on the risk model development of the internal rating system.

To work of capital management frameworks and regulatory capital treatments.

Stress testing and scenarios analysis, including both the quantitative and qualitative methods for econometric modelling and forecasting.

Modelling of market and credit risk, VaR, PFE, CVA, and generic risk measures such as Greeks.


Candidate requirements:

5+ years hands on model development or validation within market risk.

Solid understanding of key regulatory initiatives such as FRTB

Knowledge of model life cycle and associated risks

Statistical theory, analysis and inference, and statistical and qualitative techniques for developing and validating models

Financial mathematics, derivative products (IR, FX, credit, hybrid, inflation), and modelling and calibration techniques for their pricing and risk management

Strong quantitative academic background, ideally in mathematical or statistical based subjects.


How to apply:


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