Quant Model Validation (Market Risk Models)


Posted: 13/10/2017


This top tier bank is looking for a Quant Analyst specialising in validation of Market Risk models in the centre of London.

Key accountabilities include:

- Assessing performance and framework of models (VaR, SVaR, RNIVs, IRC,...)

- Provide in depth analysis independent analysis of the assumptions underlying set Market Risk models (specifically limitations, relevance, quality of implementation, and adequacy of governance and compliance with regulations)

- Be the reference with regard to knowledge of the models and the techniques used to develop them.


- Masters/PhD in quantitative subjects (eg, applied maths etc) from reputable university

- 2/3 years' relevant experience (market risk model review/validation or market risk modelling)

- Programming expertise (C++, Matlab, R)

McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.