QA Junior
Talent Hackers madrid
A consultar
Oficina
Full-time
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Job Model Validation en madrid
Talent Hackers en madrid
Model Validation
Talent Hackers madrid
Development
2-5 años
By Talent Hackers
Job description
Proyecto
This is an exciting opportunity for a quantitative oriented, creative and hands-on individual.
The validation team of market risk models that the candidate will be part of is responsible
for the independent validation of every new market risk model.
Models should be properly designed, tested, validated and approved before they can be
used to produce market risk metrics and analysis. Besides, every existing model being
used has to be periodically monitored, calibrated and, if necessary, modified or replaced,
once it has been properly validated and approved.
Rol
We need someone like you to help us in different fronts:
- Conduct critical analysis to understand the model and its assumptions; analyse the
expected impact on the main valuation and risk metrics to be affected.
- Development of independent models and design of adequacy tests of theoretical
hypotheses to test and challenge the corresponding models.
- Engage in a continuous and fluent relationship with different stakeholders: Front Office
Quants, Trading, Methodology, Market Risk, Model Risk, and external parties.
- Assess implementation of models in production systems.
- Be able to provide an independent view on models being fit-for-purpose, and to
communicate it effectively to a variety of internal and external stakeholders. Write high-
quality documentation covering the analyses of the validated models.
Requisitos
- 4-6 years of experience in quantitative modelling of market risk, pricing or XVA models, as
model validator, model developer or similar roles.
- Proven experience in a quantitative field with advanced level of mathematics and
modelling.
- Experience in programming language: VBA, Matlab, Python, etc. -Great written and verbal
communication skills dealing with highly technical subjects.
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