Market Risk Validation Analyst

  • Permanent Senior position

  • Johannesburg, Gauteng

  • R450,000 - R750,000 pm cost to company

  • Job 2047244 | Ref TGE002MR

  • Posted 17 Jul 2017 by ConinghamLee and Associates

About the Position

Validation of Valuation Models and Market Risk Methodologies (+/- 70%) Assess the reasonability of the proposed modelling approach to the product under consideration Review the theoretical appropriateness of the model Confirm that the model was correctly implemented Indentify the primary risks Review the quality of the risk parameters calculated Indentify any model risk parameters calculated Identify any model limitations and uncertainties, including model parameters, that impact valuation Recommend the appropriate methodologies to calculate the provisions that account for the model limitations and uncertainties Comprehensive documentation of the validation results in line with model validation control framework Annual review of approved models and methodologies

Desired Skills

  • Experience Three years in quantitative analytics
  • Experience in at least one programming language is necessary
  • Experience in the valuation of complex derivatives would be an advantage
  • CompetenciesPricing and testing of derivatives products across different asset classes
  • Problem solving Programming in Matlab or VBA

Desired Qualification Accreditation

  • Honours

About The Employer

Leading Investment Bank is looking for a Market Risk Validation Analyst. The jobholder will be part of the model validation team. The team is responsible for independent validation of valuation models, market risk methodologies and any other non-trivial methodologies for determining inputs to pricing models. Please email CV directly to Email Address


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