Senior Model Risk Analyst - Validation & Quant Analytics

ICE Clear Europe Limited; Greater London; On-site; GBP 80,000 - 120,000; Full time

Job summary

ICE Clear Europe Limited in London is seeking a Senior Model Risk Analyst to validate and monitor pricing and risk models used by the clearing house. You will assess initial margin, add-ons, and stress tests, with focus on market, credit, and liquidity risk, in collaboration with a cross-functional Risk Oversight team.

Applicants should hold an MSc or PhD in a quantitative field, have strong Python and SQL skills, and experience in model validation and risk analytics.

Qualifications

• Advanced degree in Mathematics, Statistics, Quantitative Finance.
• Experience in model validation or risk analytics.
• Strong knowledge of market, credit, or liquidity risk.
• Proficiency in Python and SQL for data analysis.
• Understanding of option pricing theory and statistical risk modelling.
• Excellent written and verbal communication skills.

Responsibilities

• Conduct independent validation of risk and pricing models.
• Document validation findings, communicate risks, and recommend improvements.
• Continuously monitor model performance and drive risk mitigations.
• Provide guidance on model usage and liaise with stakeholders for new models.
• Review model change and calibration proposals.
• Stay updated on evolving market practices and regulatory requirements.
• Provide technical interpretations to regulatory text.
• Utilise programming skills to execute validation tasks and develop tools.

Skills

Python

SQL

VaR

Backtesting

Stress testing

Model validation

Communication

Education

MSc/PhD in Mathematics/Statistics/Quantitative Finance

Job description

ICE Clear Europe Limited in London is seeking a Senior Model Risk Analyst to validate and monitor pricing and risk models used by the clearing house. You will assess initial margin, add-ons, and stress tests, with focus on market, credit, and liquidity risk, in collaboration with a cross-functional Risk Oversight team.

Applicants should hold an MSc or PhD in a quantitative field, have strong Python and SQL skills, and experience in model validation and risk analytics.