Quantitative Modelling Expert
2 days ago
The Senior Analyst/Manager role is a key position within a Model Risk Management team.
This includes reviewing models used for Capital calculations, Economic Capital, Stress Testing and Credit Provisioning. The successful candidate will perform validation for models designed to comply with new standards such as FRTB and updates to APS117 (IRRBB) and APS113 (Credit).
The team has a global reach, performing validations for Finance and Group Treasury models as well as models used to meet local regulatory requirements of entities around the world.
- Relevant qualification in a quantitative discipline
- 3-7 years of relevant experience in a quantitative role with exposure to modelling and implementation
- Good understanding of financial markets and key risk factors for financial products
- Strong written and verbal communication skills with great attention to detail
- Interest in mathematics and coding and prior experience with Market Risk models will be advantageous
Key responsibilities include using theoretical analysis and mathematical research for benchmarking best practices to meet business needs and documentation of reviews.
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