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About the Role

ICE Clear Europe (ICEU) is a leading clearing house clearing approximately 5 million contracts daily across multiple asset classes. The Model Risk Management team is responsible for model governance, validation, and performance monitoring. The Senior Model Risk Analyst will validate and monitor pricing and risk models, ensuring accuracy, robustness, and regulatory compliance, with a focus on market, credit, and liquidity risk.

Responsibilities

Conduct independent validation of risk and pricing models and review of stress testing frameworks.
Document validation findings, communicate risks, and recommend improvements.
Continuously monitor model performance and review first-line risk management monitoring approaches.
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.
Utilize programming skills to execute validation tasks and develop technical capabilities and tools for model testing, model monitoring, and related analytics.

Requirements

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

Skills

Python
NumPy
Pandas
SQL
Option pricing theory
Statistical risk modelling techniques
VaR
Backtesting
Stress Testing
Model validation
Quantitative analysis
Risk analytics
Market risk
Credit risk
Liquidity risk

Experience Level

Senior

Education Level

About the Company

ICE Clear Europe (ICEU) is one of the world’s most diverse and leading clearing houses, clearing approximately 5 million contracts daily across multiple asset classes.
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.
The company leverages 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.
The risk framework ensures resilience in dynamic market conditions while upholding the highest regulatory and operational standards.