Quantitative Risk Analyst – Model Validation, VTB Capital

Quantitative Risk Analyst – Model Validation, VTB Capital

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.
Principal Accountabilities

• 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;


Benefit package:
• Official employment
• Competitive salary
• Professional training and development
• Voluntary medical insurance for employee and their family members, life and health insurance, banking products on attractive terms
• Sport and corporate events
• Ability to build your career in the leading Russian investment bank

VTB Capital

VTB Group’s Corporate Investment Business is a leader in the international investment banking sector in Russia. VTB Capital has achieved significant results since it was founded in 2008 and has carved out a reputation of a reliable business partner for clients from around the world. VTB Capital operates in Moscow, London, Hong Kong, Singapore and Sofia as well as on the basis of the VTB Group’s international offices in Shanghai, Frankfurt, Vienna and Zug. It is headquartered in Moscow.

Job type    Full-time

Published: 30/04/2021