Job Title:

Risk Analyst – Market Risk Model Validation

Department:

Risk Management / Model Validation

Location:

Paris / London / Frankfurt / (specify location)

Contract Type:

Permanent / Fixed-Term / Internship / Graduate Program

POSITION OVERVIEW:

The Risk Analyst – Market Risk Model Validation is responsible for the independent review, validation, and documentation of market risk models to ensure they are conceptually sound, compliant with regulatory requirements (e.g., FRTB, Basel III/IV), and properly integrated into the firm’s risk management framework.

KEY RESPONSIBILITIES:

Perform independent validation of market risk models such as Value-at-Risk (VaR), Stressed VaR (SVaR), Incremental Risk Charge (IRC), Risk Not In VaR (RNIV), and stress testing frameworks.

Evaluate models for regulatory compliance (Basel III/IV, ECB TRIM, FRTB, etc.).

Validate internal models used for regulatory capital purposes (e.g., Internal Models Approach – IMA).

Conduct critical analysis of model assumptions, limitations, and methodologies.

Provide recommendations for model improvements and remediation where necessary.

Prepare comprehensive model validation reports and documentation for regulatory and internal audit purposes.

Liaise with regulators, internal audit, and other stakeholders on model risk-related matters.

Collaborate with quantitative model developers, market risk teams, IT, and compliance.

PROFILE REQUIRED:

Education:

Master’s degree (or equivalent) in Quantitative Finance, Financial Engineering, Applied Mathematics, Statistics, or a related field.

PhD or professional certifications such as FRM, CFA, PRM are a plus.

Experience:

1–3 years’ experience in market risk, model validation, quantitative analysis, or a related function.

Previous experience in investment banking, asset management, or risk consulting is desirable.

Technical Skills:

Solid understanding of financial instruments (derivatives, interest rates, credit, FX, equities, etc.).

Strong knowledge of market risk models (e.g., historical simulation, Monte Carlo simulation, stress testing).

Proficiency in programming languages such as Python (strongly preferred), R, MATLAB, or VBA.

Familiarity with Excel, SQL, and data analytics tools.

Soft Skills:

Strong analytical mindset and attention to detail.

Excellent communication and report writing skills.

Ability to work collaboratively in a team and across departments.

Autonomy, time management, and ability to meet deadlines.

LANGUAGES:

Fluent English (spoken and written) is required.

Knowledge of French, German, or other languages is a plus depending on location.

CAREER DEVELOPMENT OPPORTUNITIES:

Progression to roles such as Senior Risk Analyst, Model Risk Manager, or positions in Quantitative Modelling, Internal Audit, or Compliance.

Exposure to international regulatory frameworks and high-impact risk management projects.