Model Risk Quant - AVP

RWE Renewables, Americas; London; On-site; GBP 50,000 - 80,000; Full time

Job summary

Une entreprise leader dans les énergies renouvelables cherche à renforcer son équipe avec un professionnel expérimenté en validation de modèles quantitatifs. Le candidat idéal aura une solide expérience en modélisation, en analyse quantitative et une connaissance approfondie des produits financiers, notamment des modèles de risque de marché et de contrepartie. Saisissez l'opportunité de rejoindre un environnement dynamique et d'influencer directement l'amélioration continue des méthodologies financières.

Qualifications

• Expérience en modélisation quantitative (développement ou validation).
• Connaissances en Mathématiques et Théorie des probabilités.
• Niveau de programmation en Python ou R.

Responsibilities

• Validation initiale et périodique des modèles quantitatifs.
• Conception et modélisation de modèles challengers.
• Documentation des constatations dans des rapports de validation.

Skills

Math and Probability theory

Data Science

Statistical inference techniques

Financial products knowledge

Python

R

Simulation and numerical methods

Problem solving

Numerical skills

Communication skills

Education

Postgraduate degree in a quantitative discipline

Job description

Independent model validation of quantitative methodologies, both initial and periodic, across all asset classes and model types (derivative pricing models, credit and market risk, capital models, AI models, etc. ) and in line with regulatory requirements and industry best practice. The validation regularly requires an independent implementation of the models and the implementation of alternative challenger models.

KEY RESPONSIBILITIES

• Initial and periodic validation of quant models
• Designing, modelling and prototyping challenger models
• Quantitative analysis and review of model frameworks, assumptions, data, and results
• Testing models numerical implementations and reviewing documentations
• Checking the adherence to governance requirements
• Documentation of findings in validation reports, including raising recommendations for model improvements
• Ensuring models are validated in line with regulatory requirements and industry best practice
• Tracking remediation of validation recommendations

SKILLS AND EXPERIENCE

Essential:

• At least a first relevant experience in quantitative modelling (model development or validation) in one or more of these topics:
  • Market risk models
  • Counterparty credit risk models
  • Derivatives pricing models

Optional:

• Capital models (Economic/Regulatory)
• Corporate credit risk models (IRB, PD/LGD/EAD)

Competencies:

Essential:

• Good background in Math and Probability theory - applied to finance.
• Good knowledge of Data Science and Statistical inference techniques.
• Good understanding of financial products.
• Good programming level in Python or R or equivalent.
• Good knowledge of simulation and numerical methods
• Awareness of latest technical developments in financial mathematics, pricing, and risk modelling

Beneficial:

• Experience with AI models
• Experience with C++ or C# or equivalent

Optional:

• Up-to-date knowledge of regulatory capital requirements for market and credit risk

Education :

• A Postgraduate degree in a quantitative discipline (e.g., statistics, mathematics, mathematical finance, econometrics)

PERSONAL REQUIREMENTS

• Strong problem solving skills
• Strong numerical skills
• A structured and logical approach to work
• Excellent attention to detail
• Excellent written and oral communication skills
• Ability to clearly explain technical matters
• A pro-active, motivated approach