Quantitative Risk Manager

About the team:

The Financial Model and Valuation Risk Management (FMVRM) team is responsible for ensuring that each material model or tool used to determine valuation or risk characteristics of financial instruments is based on sound mathematical and economic concepts, has been implemented correctly, and produces accurate results.​ The team also works to develop and maintain the risk methodologies used by FRM to examine risk, and works closely with IT to provide robust, fit for purpose IT platforms to enable FRM’s work.​

About the role:

We are seeking a highly skilled professional to perform independent validation of financial models used for valuation and risk measurement. This role ensures model integrity, compliance with regulatory standards, and effective risk management across diverse asset classes. The person is expected to mentor and support junior team members in progressing their model validation tasks.

Key responsibilities include:

• Conduct rigorous testing of models used for valuation and risk measurement of financial products.
• Quantify model risks and evaluate the robustness of methodologies.
• Partner with colleagues across multiple global locations to execute model validation activities.
• Validate models covering various asset classes, including Fixed Income, Equity, Insurance
• Assess and validate risk aggregation models such as VaR, Shortfall, Stress
• Prepare model review documentation in accordance with approved standards.
• Track and follow up on identified issues, ensuring timely resolution or appropriate containment.
• Mentor and support junior team members on financial model validation tasks

About you:

• Strong academic background, preferably an undergraduate or master's degree in a quantitative finance discipline
• 8+ years of experience in a quantitative role in a financial institution is required
• Strong understanding of derivatives pricing theory, esp. experience with weather derivatives is a huge plus
• Strong communication skills. An example of a technical report produced by the candidate may be requested as a part of the screening process
• Good organisational skills, ability to handle multiple priorities and meet deadlines
• Possess proactive attitude, and willingness to learn new areas and apply general technical knowledge to new specific situations
• Very good technical skills, ability and willingness to examine new methodologies with good and detailed documentation
• Experience with computer programming is a plus
• Professional experience in the field of (re)insurance is welcome