Quantitative Analyst, Risk Models,vp
London, ENG, GB, United Kingdom
Job Description
The primary mandate of Model Validation Team is to manage risk that arises from models used in the firm throughout its range of businesses, including models used for derivatives valuation, market and credit risk management, liquidity, and capital computations. The team is responsible for independently reviewing models for validity, theoretical consistency and implementation accuracy, as well as assessing the risk associated with model choice.
Role
Jefferies is looking for a Vice President Quantitative Analyst to join our Model Validation function.
Key Responsibilities
Perform independent validation and approval of models, including raising and managing model validation findings Conduct annual review and revalidation of existing models Provide effective challenge to model assumptions, mathematical formulation, and implementation Assess and quantify the model risk arising from model limitations, to inform stakeholders of their risk profile and development of compensating controls Contribute to strategic, cross-functional initiatives within the model risk team Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management Contribute to automation/AI efficiency initiatives
Qualifications
MSc or preferably PhD in a quantitative field (physics, mathematics, computer science, financial engineering, etc.) Understanding of all aspects of the VaR computation framework and Counterparty Credit Risk modelling Strong Python coding skills preferable Strong communication skills with the ability to find practical solutions to challenging problems Teamwork and collaboration skills a must Experience (at least 5 years) with risk model validation and/or development
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Job Detail
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Job IdJD3210781
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IndustryNot mentioned
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Total Positions1
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Job Type:Contract
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Salary:Not mentioned
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Employment StatusPermanent
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Job LocationLondon, ENG, GB, United Kingdom
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EducationNot mentioned