Market Risk Model Validation Lazio

Market Risk Model Validation
Roma
Lazio, Lazio

Excellent opportunity to join a growing business with significant momentum in the market place.

The risk team are building a new structure and set up, covering new products and responsibility.

You will gain a view across a range of trading venues and work with Equities, ETD, Derivatives, Commodities and Fixed Income. The role is working in the model validation team, where you will perform an annual validation.

Rebuilding the models and working with real data. Validation of risk modelsused for measuringmarket, credit risk, and liquidity risk Knowledge and experience ofVaRandExpected Shortfall Strong knowledge of financial markets and how products behave under various conditions, taking into account the pricing and risk - with a particular requirement for Equities.

Strong English language skills and ensuring quality of writing is essential Masters Degree, PhD or CQF - covering a quantitative field Developing and programming alternative models to challenge risk models in use Python and Matlabare preferred - with Python being the key Design and development of Sensitivity Analysis, stress testing, backtesting Operational risk management and reporting to top management Key Risk Indicators: development, monitoring, and challenge Monitoring and reporting of Basel III parameters for CCR Second level controls on investments Prepare reporting to internal and external stakeholdersSmart working on offer, with weekly time in the office, competitive salaries, bonus and benefits. Please apply now to be part of an organisation making waves internationally