We are seeking a talented Market Risk Model Validator to join a specialist engagement supporting a leading US investment bank.
This is an opportunity to work within a highly technical market risk environment, focusing on the independent validation and assessment of quantitative models used to measure and manage market risk.
Key Responsibilities:
- Conduct independent validation and review of market risk models used within a major investment banking environment.
- Assess quantitative methodologies relating to Value at Risk (VaR), Expected Shortfall (ES) and other market risk measures.
- Support validation activities relating to the Fundamental Review of the Trading Book (FRTB), including the Internal Models Approach (IMA).
- Perform quantitative analysis, backtesting and benchmarking to assess model performance and robustness.
- Review model assumptions, methodologies, limitations and underlying mathematical frameworks.
- Analyse model outputs, identify potential weaknesses and provide recommendations for improvements.
- Produce detailed validation documentation and communicate findings to relevant stakeholders.
- Work closely with quantitative analysts, market risk specialists and model risk teams.
Requirements:
- 2–7 years of experience within market risk, quantitative risk, model validation or a closely related discipline.
- Strong understanding of market risk methodologies, particularly VaR and Expected Shortfall.
- Knowledge of FRTB regulations and associated market risk modelling requirements.
- Strong quantitative and analytical skills, with the ability to understand and challenge complex model methodologies.
- Experience with statistical analysis, backtesting, stress testing or quantitative model assessment.
- Proficiency in Python, MATLAB, R, C++ or similar programming languages would be advantageous.
- A degree in Mathematics, Physics, Statistics, Financial Engineering, Economics or another numerate discipline.
Full right to work in the UK required, no sponsorship offered.
Market Risk Model Validator in London employer: Campion Pickworth
At Campion Pickworth, we pride ourselves on being an exceptional employer, offering a dynamic work culture that fosters innovation and collaboration. As part of a leading international professional services firm, you'll have access to cutting-edge technologies and the opportunity for continuous professional growth, all while working alongside a team of talented specialists in a supportive environment. Our commitment to employee development and the chance to tackle complex business challenges make this role not just a job, but a meaningful career path.
