Market Risk Model Val Quant recruitment
Model Review, VaR ALM Models (Snr Jnr Roles) / Major European Investment Bank
The is a demanding, but stimulating and varied role with considerable potential for self development within a small team environment, adding substantial value in an increasingly important area of the bank.
KEY RESPONSIBILITIES:
- Detailed evaluation of market risk and ALM models, including their: design, calibration and validation; operation; usage; reporting; and governance
- Expert input into model development, selection, validation, back-testing, stress testing and review
- Advising risk teams on the most appropriate quantitative estimation, validation and stress testing methods
- Developing friendly relationships with in business units and Group Audit
KEY SKILLS EXPERIENCE (Senior Role)
- 4+ years VaR or PFE/EPE, either or both of building or validating these models
- Some experience of dealing with regulators
- Good experience of market pricing and associated techniques e.g. stochastic calculus or/and hedge ratios and/or GARCH etc
- Some C++ or C or Visual Basic or R together with evidence of use in model build or validation
- Masters or PhD in a quantitative subject
KEY SKILLS EXPERIENCE (Junior Role)
- 1 - 2 years VaR or PFE/EPE, either or both of building or validating these models OR a post grad project on these combined with an internship
- Good theoretical understanding of market pricing and associated techniques e.g. stochastic calculus or/and hedge ratios or GARCH etc
- Some C++ or C or Visual Basic or R
- Masters or PhD in a quantitative subject
February 3, 2012
• Tags: Market Risk Model Val Quant recruitment, Risk Management careers in the UK • Posted in: Financial