Senior Model Validator - Counterparty Risk Senior Model Validator - Counterparty Risk …

Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 15 Oct 21
Negotiable
Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 15 Oct 21
Negotiable
A leading investment bank is looking for an experienced quantitative analyst to validate their counterparty risk models in London. You will be responsible for the validation of the Banks counterparty credit exposure and XVA models.

Key responsibilities of the role include:

  • Responsible for the validation of counterparty credit exposure and XVA models.
  • Review of risk factor stimulation models, back testing and model calibration.
  • Implementation of bench mark models, covering both the implementations and features.
  • Document model validation testing and findings to a high standard and follow up with stakeholders on identified modelling issues.
  • Communicating the different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal and external auditors.

Key requirements of the role include:

  • A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent
  • Experience working in a Model Validation of counter party credit risk models.
  • Minimum 5 years' experience working in a financial, building and/or validating risk models
  • Experience programming and coding Excel, VBA and C++.
  • Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
  • In depth knowledge of European and UK markets.
  • Willing to be based in London.
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