SME Market Risk Modelling

Recruiter
Anonymous
Location
London
Salary
55000.00 - 80000.00 GBP Annual + GBP55000 - GBP80000/annum
Posted
24 Jun 2017
Closes
22 Jul 2017
Category
Accounting
Function
Consultant
Contract Type
Permanent
Hours
Full Time
C++, Visual Basic, R, VAR, Pricing Model., Market Risk, Model Validation,Challenger Model, Benchmark Model, Model Audit,

I am currently conducting a search on behalf of a top tier bank, who are looking to build out centralised team for the validation of traded and non traded market risk models.

This is an opportunity to work across the entire suite of models aligned to traded and non traded products, in addition to leading regulatory projects such as FRTB.

The successful candidate will be expected to work closely with model methodology and development teams in order to create group standards, in addition to reviewing the model documentation and building challenger models to ensure quality.

Key responsibilities:

* Model validation activities: inclusive of documentation review, benchmark modelling, and regulatory submissions
* Daily management of team relationships across model development, methodology, in addition to senior stakeholders at the Head of level
* Facing off to external regulators for submission of model documentation
* Project management
* Acting as an advisor to various risk teams for the correct stress testing, validation and estimation methodologies

Requirements:

* At least 2 years experience within a Market Risk or quantitative function in investment banking
* Experience in market risk model development, validations, or audit
* Demonstrable proficiency in C++, Visual Basic, or R
* Demonstrable knowledge of VAR, pricing models
* Minimum of a Masters in a quantitative/ Mathematical subject

Allegis Group Limited and Aston Carter Limited operate Employment Businesses and Agencies and are companies within the Allegis Group Inc. group of companies, the fourth largest staffing company in the world, (collectively referred to as the "Allegis Group"). TEKsystems and Aerotek are divisions of Allegis Group Limited. Applicant data will be treated in accordance with the Allegis Group's Privacy Notice (url removed) By submitting personal data to any company or division within the Allegis Group, the applicant is providing explicit consent to the use of such data by the Allegis Group and to the transfer of such data to and from the Allegis Group companies within the UK, Europe and outside the European Economic Area in connection with the fulfilment of the applicant's voluntary requests, and the fulfilment of other job opportunities that match the applicant's profile, and confirms that they may be contacted about such job opportunities