We are looking for professionals with experience in Market Risk and Model Risk Management to perform independent validation and assessment of quantitative risk models.
Key Responsibilities
- Perform independent validation of Market Risk models across asset classes.
- Review VaR, SVaR, FRTB, IRC and other risk methodologies.
- Conduct stress testing, backtesting, benchmarking and sensitivity analysis.
- Assess model assumptions, limitations, data quality and performance.
- Prepare model validation reports and ensure regulatory compliance.
Required Skills
- Experience in Market Risk / Model Risk / Quantitative Model Validation.
- Solid knowledge of VaR, FRTB, derivatives and risk modelling.
- Understanding of Basel regulations and SR 11-7.
- Knowledge of Python, R or C++ is preferred.
- FRM/CQF certification or a Master's degree in a quantitative discipline is an advantage.