Job Description

About the role:
Work with a multi-location team (London & Zurich) on model validation of valuation and risk measurement models covering various asset classes including fixed income, equity, derivatives, insurance-linked derivatives, etc.

Model review of risk aggregation methodologies such as VaR, Stress and credit risk measurement.

Model review of financial risk representation in insurance products.

Model validation tasks require critical analysis of product and modelling technique, model testing (sometimes including independent implementation of the model), alternative model analysis and quantifying model risks.

Prepare documentation of results and conclusions summarising validation of the model in question according to approved standards. It also includes follow up on identified issues, ensuring resolution or containment.
About the team:
The Financial Model & Valuation Risk Management (FM&VRM) tea...
            

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Quantitative Risk Analyst

Job Description

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