The role involves working within the Quantitative Risk Management team in the areas of Model Validation and Model Risk Management. The new hire will play a key role in the global Model Validation activity across VTB Group including validation of derivatives pricing and risk models, monitoring and control of model risk, analysis and signoff on pricing of scripted derivative transactions. Being a part of a small group the new hire will have an opportunity to contribute to various areas of Quantitative Risk function by providing quantitative expertise to the ongoing activities of the Risk Management.
- Validation of derivative pricing and risk models both for in-house and vendor analytics
- Further development of QRM model test suite; analysis and sign-off on regression testing of derivatives pricing during system releases
- Model Risk Management including building up a group-wide Model Inventory and reviewing model risk
- Analysis and signoff on deal representation and pricing of scripted derivative transactions
- Providing quantitative expertise to the ongoing activities of the Risk Management
- Maintaining regular and informative communication with Head of Quantitative Risk and Front Office quants.
Key Competencies & Qualifications
- Higher quantitative degree, preferably in Physics, Maths, or Engineering.
- Proven track record in one or more of the following areas in an investment banking environment:
- Model validation
- Model development
- Counterparty or market risk analysis for derivatives
- Strong knowledge of pricing and risk models and ability to test derivative pricers;
- Solid quantitative skills;
- Wide product knowledge across a range of asset classes;
- Programming ability, preferably in C#;
- Outgoing and engaging;