Currently recruiting on behalf of a London based Securities firm for an experienced Model Validation profesional to join their team. The ideal candidate will have good programming skills in Java and Python, and should have a background in Capital Markets, particularly Equities and Fixed Incomes. This is a great opportunity to join a growing team in a highly regarded firm, with the manager looking to interview week starting 19th March.
Experience Trading algorithm validation or development.
Hands-on experience in technical model development and implementation, model validation, and/or model oversight in Algorithm trading as well as one or more of the following areas: credit risk (retail and/or wholesale), market risk, operational risk, asset & liability management, PD/LGD/EAD estimation, and capital and macro stress testing.
Strong analytical and computational skills, with great attention to detail, strong control mind-set with interest in investigating issues and develop solutions
Ability to comprehend and interpret research and validation output to present in a clear and concise manner
Good written and verbal communication & presentation skills.
Ability to interface with all levels in the business including senior management.
Good interpersonal skills and a team player.
Proactive and self-motivated
Programming skills (Excel,VBA,C++,Python, Java)
Competent user of SAS and R
Working knowledge of Historical Simulation VaR
Practical validation experience of risk models in the following areas; Algorithmic trading Market risk, operational risk, and capital stress testing
Practical experience in any of the following subjects: Value-at-risk, Economic Capital, stress testing, sensitivities, Extreme Value Theory, time series modelling, distributions, Model risk, and model validation.
Data management (SQL, Microsoft Access)
Basic knowledge of data software providers (Bloomberg, Reuters)