Market Risk Quant Validation AVP - VP - London, United Kingdom,


The company is a Bank.

  • Validate and backtest equities VaR models to ensure they remain fit for purpose and make improvements where necessary
  • Collaborate closely with the Risk Methodologies team and Market Risk on the validation of VaR methodology projects to ensure issues are appropriately addressed and raised;
  • Assess the appropriateness of historical data used in calculations
  • Ensure that all risk models and validation are adequately documented for both internal and external (e.g. regulatory) purposes
  • Evaluate the impact of new models and capital rules
  • You should have a first degree in engineering, mathematics, physics, econometrics or statistics, and further studies (PhD/MSc) or equivalent experience
  • You possess a strong mathematical background in statistics, time series analysis and probability theory
  • You require experience in quantitative risk management within an investment bank validating or developing VaR models
  • You have a deep understanding of products traded and risks generated by trading strategies
  • The role requires you to have good programming and analytical skills
  • You are able to present results clearly and precisely to senior management
  • Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application