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Alexander Ash Consulting Ltd

Company Profile



Stress Testing Modeller/Quant Analyst


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Job ID:

1101628

Location:

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Category:

Accounting

Salary:

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£600.00
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Job Views:

156

Employment Type:

Contractor

Posted:

12.05.2018
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Job Description:

Stress Testing Modeller/Quant Analyst. A leading consultancy require a stress testing modeller/quantitative modeller for a market risk project on site with one of their key investment banking clients.

As a Stress Testing Modeller/Quant you will independently validate, test and challenge stress testing models for capital, stress loss, revenue, RWA projects and market risk. This will require a robust understanding of stress testing methodologies and US, UK and EU regulatory requirements and model validation standards as well as a solid understanding of financial derivatives and technical skills in R, Python and/or Matlab.

You should apply for this role if you are/have:

  • 5+ years quantitative analysis/risk modelling experience in investment bank
  • Strong experience stress testing, methodology and stress scenarios modelling
  • Strong stress methodology experience under ICAAP, CCAR, PRA and EBA regulations
  • Experience validating, testing and challenging stress testing models
  • Solid technical skills in R, Python and/or MATLAB
  • FRTB experience is beneficial
  • Quantitative post-graduate degree (MSc, PHD, CFA, FRM and/or CQF)

This is an initial six month role for at £500-£600/day based London.




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