Senior Model Risk Analyst - Derivatives Validation

Intercontinental Exchange (ICE); Greater London; On-site; GBP 90,000 - 125,000; Full time

Job summary

ICE Clear Europe seeks a Senior Model Risk Analyst to join the Model Risk Management team, validating and monitoring pricing and risk models used in the clearing house and ensuring accuracy, robustness and regulatory compliance.

Role covers end-to-end assessment across initial margin, add-ons and stress testing with focus on market, credit and liquidity risk. Strong programming skills required.

Qualifications

• Advanced degree in a quantitative field (MSc/PhD).
• 3+ years of model validation, quantitative analysis, or risk analytics.
• Strong knowledge of market, credit or liquidity risk frameworks.
• Proficiency in Python and SQL for data analysis.
• Understanding of option pricing theory and statistical risk modelling (VaR, Backtesting, Stress Testing).
• Excellent verbal and written communication skills.

Responsibilities

• Conduct independent validation of risk and pricing models and review stress testing frameworks.
• Document validation findings, communicate risks, and recommend improvements.
• Continuously monitor model performance and drive model changes or risk mitigations.
• Provide guidance on model usage and act as a liaison for new models and changes.
• Review model change and calibration proposals.
• Stay updated on evolving market practices and regulatory requirements.
• Provide technical interpretations to regulatory text.
• Utilise programming to execute validation tasks and develop tools for model testing and monitoring.

Skills

Model validation

Quantitative analysis

Risk analytics

Communication skills

Stress testing

VaR

Statistical modelling

Education

MSc/PhD in Mathematics, Statistics, Quantitative Finance

Tools

Python

SQL

Job description

ICE Clear Europe seeks a Senior Model Risk Analyst to join the Model Risk Management team, validating and monitoring pricing and risk models used in the clearing house and ensuring accuracy, robustness and regulatory compliance.

Role covers end-to-end assessment across initial margin, add-ons and stress testing with focus on market, credit and liquidity risk. Strong programming skills required.