Stress Testing Modeller / Quant Analyst

Alexander Ash Consulting
London, United Kingdom
10 Dec 2018
13 Dec 2018
Job Function
Industry Sector
Finance - General
Employment Type
Full Time

As a Stress Testing Modeller / Quant you will independently validate, test and challenge stress testing models for capital, stress loss, revenue, RWA projects and market risk.  This will require a robust understanding of stress testing methodologies and US, UK and EU regulatory requirements and model validation standards as well as a solid understanding of financial derivatives and technical skills in R, Python and/or Matlab.

You should apply for this role if you are/have:

  • 5+ years quantitative analysis / risk modelling experience in investment bank
  • Strong experience stress testing, methodology and stress scenarios modelling
  • Strong stress methodology experience under ICAAP, CCAR, PRA and EBA regulations
  • Experience validating, testing and challenging stress testing models
  • Solid technical skills in R, Python and/or MATLAB
  • FRTB experience is beneficial
  • Quantities post-graduate degree (MSc, PHD, CFA, FRM and/or CQF)

This is an initial six month role for at £500-£600/day based London.

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