Market Risk Models Quant,
4 weeks ago
London
Ref: MRQ-1007
Up to £250k Total Comp
Leading Global Investment Bank
This global investment bank seeks to hire a VP level Quant Analyst to focus on optimisation of FRTB, SIMM and VaR and implementing quantitative solutions. As part of their Risk Engineering team, you will work closely with the Front Office Quants to provide modelling support for VaR, SIMM and FRTB and associated Quantitative Market Risk. This is an excellent leadership opportunity to work on cutting edge models in a highly quantitative global environment.
KEY SKILLS & EXPERIENCE:
- Provide modelling support for VaR, SIMM, FRTB & VaR methodologies
- Improve the client Risk tools and be involved in next generation of tools
- Development of alternative models/methodologies for model risk.
- Improvement of Risk systems and tools (C#) and the Risk engine code base
- Day to day support of stakeholders in all model related questions including the trading desk & risk management
QUALIFICATIONS:
- Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
- Strong knowledge of mathematics and stochastic calculus.
- Sound judgement in assessing the strength and weaknesses of modelling approaches.
- Strong knowledge of Interest Rate models & Curves
- Experience in either a model validation or model development role with exposure to SIMM and Regulatory models.
- Solid experience of implementing derivative valuation models in C++ or C# in either a Front Office or Model Validation environment.
DESIRABLE:
- Understanding of IBOR Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback.
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