We are currently partnering with the Quant model division of this Tier 1 Global Banking group to identify an FRTB model validation specialist for their London offices.
The successful candidate will work closely with model governance colleagues across the IMA group and framework owners (taxonomy, sensitivity analysis, aggregation, data quality, infrastructure).
Key responsibilities will include performing statistical validation across the FRTB model portfolio, focussing on a range of trading strategies and scenarios. You will also review model and backtesting methodologies and perform backtesting.
You will a critical role in the successful FRTB integration at a Global level
- Minimum of 3 years Model Risk experience – Market Risk, Pricing Risk, FRTB models
- Academic background within Quantitative subjects – MSc or PhD in Mathematics, Econometrics, Quantitative Finance, Financial Engineering, Statistics, Data Analytics, Computer Science
- Strong interest in Global Markets