Responsibilities:
- Validation of FRTB IMA models
- Quantitative analysis and review of model frameworks, assumptions, data, and results
- Designing, modelling and prototyping challenger models when required
- Testing models numerical implementations and reviewing documentations
- Checking the adherence to governance requirements
- Documentation of findings in validation reports, including raising recommendations for model improvements
- Ensuring models are validated in line with regulatory requirements and industry best practice
- Tracking remediation of validation recommendations
Essential:
- Strong experience in Market risk modelling
- Good knowledge of FRTB IMA models
Desirable:
- Experience of model validation
Essential competency:
- Strong background in Math and Probability theory - applied to finance
- Good knowledge of Data Science and Statistical inference techniques
- Good understanding of financial products
- Good programming level in Python or R or equivalent
Desirable competency:
- Up-to-date knowledge of industry implementations of FRTB IMA
- Computer simulations and numerical approximation methods
- Awareness of latest technical developments in financial mathematics
If interested please apply below. Alternatively, email your CV to chris.norton@goodmanmasson.com
In our company values we aim for equity at all stages of the recruitment process, please let us know if we can do anything to make the process more accessible to you.
With a team of 180 and growing every day, Goodman Masson is London’s specialist Finance and Technology recruitment business. Voted ‘Recruitment Agency of the Year 2021', our passion for what we do is clear.
Based in London, Düsseldorf and New York, we hire across Finance, Technology and Specialist markets including the areas of Accountancy & Finance, Audit, Actuarial, Banking Operations, Change Management & Transformation, Compliance, Investment Management, Tax, Treasury, Housing Development, Pharmaceuticals, Technology, Digital & Data and Software Engineering.
We successfully provide both contingent recruitment and RPO solutions to a wide range of clients, through a brilliant understanding of sourcing and recruiting, the creation and evolution of employer brands and the fascination in the modern workplace.
