Analyst, Quantitative
Financial Services, Banking
Minimum Requirements
- Honours Degree in either Financial Mathematics
- Quantitative Risk Management
- Statistics
- Engineering
- Mathematical Sciences or Physics
- Masters Degree in either Financial Mathematics
- Mathematical Sciences or Physic
- 2-4 years' experience as an Analyst in a bank’s risk management, model development or model validation function. Demonstrable ability to develop mathematical models. Complex mathematical problems need to be solved in this role. In most cases, the jobholder would need to perform additional research and engage with internal stakeholders to determine in appropriateness of a particular model.
- 3-5 years' experience with programming tools such as Python, Matlab.
- 3-5 years proven understanding of regulations affecting banking, especially impacting risk modelling
- 2-4 years experience in Model risk management practices in banking spanning data preparation, development, documentation, validation, approval, usage and monitoring.
- Adopting Practical Approaches
- Articulating Information
- Challenging Ideas
- Checking Things
- Examining Information
- Exploring Possibilities
- Interacting with People
- Interpreting Data
- Producing Output
- Providing Insights
- Taking Action
- Team Working
- Data Analysis
- Data Integrity
- Documenting
- Knowledge Classification
- Statistical & Mathematical Analysis
Responsibilities
- Perform initial and ongoing validations of internally and externally developed Counterparty Credit Risk, Market Risk and Global Markets Trading models. Formulate detailed understanding of the model specification and related data requirements.
- Research and develop an independent/challenger model to use as the reference model. Collate validation results in a technical report. Make conclusions on the validation outcome, as well as model risk, of the model being validated. Identify weaknesses in the model and formulate appropriate recommendations that will address the identified model weaknesses.
- Interact with Model Development to obtain additional clarity on the models that are being validated. Determine which aspects of the model require more clarity. Arrange and attend meetings and discussions with Model Development. Interaction with Model Owners and Business may also be required.
