Quantitative Model Risk Manager

Skills / Experience Required:

• Understanding of financial instruments and derivatives valuation and/or risk management techniques and must have implemented this
• Modeling, risk methodologies
• Trading, markets knowledge
• Market risk or counterparty risk
• Mid-level 5-9 years of experience
• Perform an Annual model validation for all models, ensuring completeness and accuracy of review in line with regulatory requirements and internal policies.
• Prepare and present annual validation reports with appropriate recommendations, suggestions, and model limitations for Financial Risk Working Group, Executive Risk Committee, and Risk Committee.
• Speak to senior stakeholders
• Understanding of all areas of different asset classes
• Risk management
• Pricing models
• Margin models, pricing models, credit rating models, stress test scenarios, liquidity risk framework, and collateral haircuts in line with internal policies and model validation procedure
• General understanding of financial instruments, market risk, and transversal risk and handling liquidity risk management, complex topics, and risk management
• Risk Matrix
• Design and implement the calibration and backtesting methodologies and support the Risk Systems teams responsible for the corresponding production processes.
• Quantitative skills
• Programming – PYTHON
• Value at risk models implementation

Location: Paris

Salary: € Competitive + Bonus

REFER A FRIEND

If you're interested in this opportunity, forward you're CV ASAP. Alternatively, if you would like to know more information or have a confidential discussion please contact Shanaz Rob - call on +44 (0)203 603 4474 or info@srinvestmentpartners.com for more details