We are partnering with a leading Investment Bank to find a highly skilled Quantitative Analyst to join their Risk team. This role will focus on the validation and enhancement of models across Counterparty Credit Risk (CCR), Market Risk, and Derivatives Pricing, ensuring accuracy, robustness, and full regulatory compliance.
Key Responsibilities
* Perform initial and periodic validation of CCR, Market Risk, and Derivatives Pricing models across multiple asset classes.
* Design, model, and prototype models to independently assess performance and robustness.
* Conduct quantitative analysis and review of model frameworks, assumptions, data inputs, and outputs.
* Check model adherence to internal governance requirements and regulatory frameworks (e.g., Basel III, FRTB, SS1-23).
* Document findings in comprehensive validation reports, including clear recommendations for model improvements.
* Ensure models are validated in line with industry best practice and evolving regulatory expectations.
* Track and monitor remediation of validation recommendations to closure.
* Collaborate closely with front office quants, risk managers, and technology teams to resolve model-related issues.
* Stay informed on market trends, regulatory updates, and advancements in quantitative modelling techniques.
Required Skills & Qualifications
* MSc or PhD in a quantitative discipline (Mathematics, Physics, Computer Science, Financial Engineering, or similar).
* Strong programming ability in Python.
* Proven experience in model validation, model development, or quantitative risk management within an investment bank or financial institution.
* Strong understanding of CCR, Market Risk, or Derivatives Pricing models and risk methodologies.
* Deep knowledge of probability, statistics, and numerical methods.
* Excellent analytical and problem-solving skills, with the ability to communicate complex concepts clearly.
Preferred Qualifications
* Experience with risk engines, quantitative libraries, and market data platforms.
* Familiarity with regulatory frameworks including Basel III, FRTB, IFRS 9, and CCAR.
We look forward to hearing from you!
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