Market Risk Model Validator

Campion Pickworth; Greater London; On-site; GBP 70,000 - 95,000; Full time

Job summary

Campion Pickworth is seeking a skilled Market Risk Model Validator to join a specialist engagement supporting a leading US investment bank. The role focuses on independent validation of quantitative models measuring market risk, including VaR and ES, with involvement in FRTB/I MA validation.

Ideal candidates have 2–7 years in market risk or model validation, strong analytic skills and proficiency in Python, MATLAB or R. UK work rights are required; sponsorship is not offered.

Qualifications

• 2–7 years experience in market risk, model validation or related field.
• Strong knowledge of VaR, ES and risk measures.
• Experience with backtesting, stress testing and quantitative analysis.

Responsibilities

• Validate market risk models used within a major investment banking environment.
• Assess VaR, ES and other market risk methodologies.
• Support validation activities relating to FRTB, including IMA.
• Perform quantitative analysis, backtesting and benchmarking.
• Review model assumptions, methodologies, limitations and mathematical frameworks.
• Analyse model outputs, identify weaknesses and provide recommendations for improvements.
• Produce detailed validation documentation and communicate findings to stakeholders.
• Work closely with quantitative analysts and market risk teams.

Skills

VaR/ES knowledge

Model validation

Backtesting

Statistics

Python

FRTB knowledge

Risk analytics

Education

Mathematics or related numerate degree

Tools

Python

MATLAB

R

C++

Job description

We are seeking a talented Market Risk Model Validator to join a specialist engagement supporting a leading US investment bank.

This is an opportunity to work within a highly technical market risk environment, focusing on the independent validation and assessment of quantitative models used to measure and manage market risk.

Key Responsibilities:

• Conduct independent validation and review of market risk models used within a major investment banking environment.
• Assess quantitative methodologies relating to Value at Risk (VaR), Expected Shortfall (ES) and other market risk measures.
• Support validation activities relating to the Fundamental Review of the Trading Book (FRTB), including the Internal Models Approach (IMA).
• Perform quantitative analysis, backtesting and benchmarking to assess model performance and robustness.
• Review model assumptions, methodologies, limitations and underlying mathematical frameworks.
• Analyse model outputs, identify potential weaknesses and provide recommendations for improvements.
• Produce detailed validation documentation and communicate findings to relevant stakeholders.
• Work closely with quantitative analysts, market risk specialists and model risk teams.

Requirements:

• 2–7 years of experience within market risk, quantitative risk, model validation or a closely related discipline.
• Strong understanding of market risk methodologies, particularly VaR and Expected Shortfall.
• Knowledge of FRTB regulations and associated market risk modelling requirements.
• Strong quantitative and analytical skills, with the ability to understand and challenge complex model methodologies.
• Experience with statistical analysis, backtesting, stress testing or quantitative model assessment.
• Proficiency in Python, MATLAB, R, C++ or similar programming languages would be advantageous.
• A degree in Mathematics, Physics, Statistics, Financial Engineering, Economics or another numerate discipline.

Full right to work in the UK required, no sponsorship offered.