Leading European Bank seeking models / quant professional from a wholesale credit risk, traded risk or pricing model val or developer background.

This is an excellent opportunity for a Quant practitioner with models experience in the above areas to gain wider group level exposure and broaden their career options. Qualified Accountants or Internal Auditors with a background in Quant /Models / Modelling within a Wholesale Credit Risk

Senior Market Risk Auditor – London

Our client is a Tier 1 Investment Bank seeking a qualified Quant / Market Risk practitioner to join their growing Global Markets Audit division.

The ideal candidate will have a strong Quantitative Finance or Market Risk background with relevant post graduate qualifications. Excellent communication skills are essential.

The Internal Audit function consists of teams who provide independent assurance over the organisation and operations for all stakeholders across varied business lines, ultimately providing assurance to the Board and Group Executive Management.

Desired Skills and Experience:

• Sound knowledge of Capital Markets Banking
• An understanding of controls within an investment bank
• Strong analytical and technical knowledge
• Excellent communication and interpersonal skills

Reporting to the Local Head of Risk Management Audit and the Global Head of Quant Analytics, this Model Validation Audit role is a key position in both the Risk Audit and Quantitative Analytics Group supporting Model Validation.

You must have strong quantitative skills and market risk knowledge as a practitioner with experience in major asset classes. In particular the successful individual will conduct reviews of risk management and capital models.

You will have experience in VaR methodology, including the Regulatory stressed VaR, Incremental Risk Charge and the comprehensive risk measure., in addition to in depth understanding of the derivative pricing models. There is an expectation for the successful candidate to develop some knowledge of credit and operational risk models.

You will have regular communication with the Global Senior Risk Managers to discuss market trends, model enhancements as well as lend independent advice to various committees dealing with model validation and enhancements.

Skills for Model Validation Audit:

• Masters or Ph.D. in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field.
• Minimum 8 years’ experience in model development, model review or model validation audit with a financial institution within interest rates, FX pricing models, equities, credit, SPG and commodities, with good understanding of model risk control and measurement.
• In-depth knowledge of mathematical finance, derivatives pricing, and numerical techniques for derivatives valuation (Monte Carlo simulation, partial differential equations, numerical analysis, probability theory, etc.)
• Build credible relationships with senior management in the Risk function.
• Ability to programme pricing models for derivatives is preferable (MATLAB, C++)
• Being able to clearly document findings in work papers to ensure they meet internal standards.

Our client, a leading global investment bank seeks an associate market risk auditor. As part of a market risk team reporting to the Global Head of Risk Audit, the successful candidate will be part of a specialist team tasked with the global market risk audit. This role would suit someone currently in practice/with a Big 4 firm who is looking to expand their knowledge and expertise in market risk as a foundation for future career development.

• Experience:
• Extensive knowledge of market risk, ideally gained through an advisory/practitioner experience in financial services.
• Thorough knowledge of regulatory requirements of market risk management, Basel II & III developments, an overview of global regulatory requirements and developments would be desirable.
• Excellent communication and relationship management skills the successful candidate will have the ability to influence stakeholders, senior management and regulator in addition to strong team working skills.

Qualifications:

• A postgraduate degree in quantitative finance or related discipline (2:1 minimum)
• Accounting qualification (desirable).