Senior Analyst, Model Risk Management

Job Purpose

With approximately 5 million contracts cleared every day across multiple asset classes ICE Clear Europe (ICEU) is one of the worlds most diverse and leading clearing houses. As a clearing house ICEU performs a critical role in ensuring market stability especially through periods of volatility and increased uncertainty. It provides central counterparty clearing and risk management services for global energy interest rate equity index and agricultural derivatives.

We leverage advanced quantitative models to effectively manage market risk for exchange-traded derivatives credit risk of clearing members and counterparties and liquidity risk associated with posted collateral. Our risk framework ensures resilience in dynamic market conditions while upholding the highest regulatory and operational standards.

The Model Risk Management team part of the Risk Oversight Department is responsible for all aspects of model risk encompassing model governance & control model validation and model performance monitoring across a wide range of applications.

ICE Clear Europe is seeking a Senior Model Risk Analyst to join its Model Risk Management team. This role is responsible for validating and monitoring pricing and risk models used in the clearing house ensuring their accuracy robustness and compliance with regulatory standards. The position involves end-to-end model risk assessment across initial margin add-ons and stress testing frameworks with a focus on market credit and liquidity risk.

This is an exciting opportunity for a technical expert looking for broad model exposure in a collaborative and flat organizational structure at the centre of financial markets.

Responsibilities

• Conduct independent validation of risk and pricing models and review of stress testing frameworks including conceptual soundness assumption reasonableness and performance benchmarking.
• Document validation findings communicate risks and recommend improvements.
• Continuously monitor model performance review first-line risk management monitoring approaches and identify and drive model changes or risk mitigating actions.
• Provide guidance on model usage and act as a key stakeholder liaison for new models and changes
• Review model change and calibration proposals
• Stay updated on evolving market practices regulatory requirements and quantitative methodologies.
• Provide technical interpretations to regulatory text
• Utilise programming skills to execute validation tasks and develop technical capabilities and tools for model testing model monitoring and other related analytics.

Knowledge and Experience

• Advanced degree (MSc/PhD) in Mathematics Statistics Quantitative Finance or related field.
• Experience in model validation quantitative analysis or risk analytics.
• Strong knowledge of market credit or liquidity risk frameworks.
• Proficiency in Python (NumPy Pandas etc.) and SQL for data analysis.
• Strong understanding of option pricing theory and statistical risk modelling techniques (VaR Backtesting Stress Testing).
• Excellent verbal and written communication skills.

Desirable Knowledge and Experience

• Industry certifications (PRM FRM CFA).
• Experience in a clearing house trading firm bank or similar financial institution.
• Knowledge of SR 11-7 model risk guidelines and exchange-traded derivatives.