Quantitative Analyst - Risk Models

The Role

We are looking for a model validator who will manage model risk models within market and counterparty credit risk areas. The validation covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. This position creates a broad set of opportunities for interaction with a wide range of internal functions as well as senior management within the bank. In short, this role offers opportunity for immense professional development for a candidate with the right competency, keen interest, high degree of motivation and energy.

What you will be doing

• Perform detailed quantitative analyses aimed at identifying material model limitations
• Work with internal and external stakeholders on the validation findings and remediation actions
• Write validation documents that critically evaluate the model methodology, describe the performed analyses and present the model users with a clear overview of discovered weaknesses and associated compensating controls

What we need from you

• Master’s degree or higher in a quantitative field (Mathematics, Financial Engineering, Statistics, Quantitative Methods etc.) with relevant coursework and experience
• Knowledge of or interest in financial instruments, simulation and pricing methodologies
• Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems
• Strong communication skills both verbal and written
• Working Python knowledge
• Ability to work independently
• Curiosity, diligence, and a healthy scepticism about received wisdom are all desirable

What we offer

• Competitive salary & social benefits (e.g. private healthcare care, multisport card, life insurance, pension plan)
• Unique opportunity to work in a global financial institution with state-of-the-art solutions and exciting quantitative modelling challenges
• Work in a friendly and diversified environment, appreciating differences in style and perspective
• A great environment for learning new technology and tools, online and instructor led training opportunities
• Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas

#LI-KT1

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