Quant Analyst - Model Risk and Validation
I'm currently working with a Global Bank who are looking to bring on board a Model Risk and Validation Quantitative Analyst who will be responsible for capturing key risks, analysis of historical data, multi-curve analysis and will have worked as either a front office or market risk quant previously.
The contract is paying £665 per day Umbrella potentially negotiable if a perfect match. This is initially a 6 month contract expected to extend. Due to the current climate the role will start working from home.
- Experience of building and validating market risk models
- Strong experience of either VAR/ IMA and/ or IRC is essential
- Knowledge of curve construction, market data, swaptions, cap flows, SOFRA new products.
- Ability to understand historical market risk data.
- Strong VBA is essential, C++ or R would be an added benefit. The majority of technical work is completed in VBA, no library integration.
- Product knowledge or Rates or Credit.
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