Senior Risk Quant Analyst

Taleo is an international financial consulting company with a team of 500+ consultants delivering value to 150+ financial entities. We are currently looking for a Senior Risk Quant Analyst based in Madrid.

The consultant will be involved in quantitative reviews across several key model validation projects, including the Standard Approach of Fundamental Review of the Trading Book, FRTB SA and IMA, the validation of the Standard Approach of Counterparty and Credit Risk, SA-CCR, and CCR Stress Testing programmes.

The role will focus on independent reviews of the provided scope, implementation, methodology and/or pricer, most probably targeted on FRTB IMA methodologies. The consultant will be expected to provide value-added findings to enhance the control of model risk and support the preparation of submission packages in line with applicable regulatory standards.

The outcome of the reviews will be presented in memos, following the appropriate wording and formatting required for the assignment.

We are looking for a Senior Risk Quant Analyst with strong technical and quantitative skills and knowledge of market risk and/or counterparty risk models.

The ideal candidate must have knowledge of:

• Applicable regulation

• Experience or exposure to model validation topics related to FRTB, CCR, SA-CCR

• Stress Testing frameworks

No project management responsibilities are required for this role.