Quant Sme

2 weeks ago

London, United Kingdom Source Group International Full time

Posted:
- Today- Sector:
- Financial Services- Location:
- London, Greater London, South East, England- Job Ref:
- BH-36352- Job Type:
- Contract- Salary:
- £900 - £960 per day- Expiry date:
- 3/7/2023- Contact:
- Yasmin Qureshi- **Senior Quant SME - Market Risk**

**London based - hybrid role**

**£900-£960**

**6 month rolling contract, inside IR35**

Source Technology are working with a global investment bank in their search for a Senior Quantitative Analyst within Market risk.

Key responsibilities include:

- Develop/re-design market risk models (especially for Equity and FX products) for accurate measurement of IMA FRTB, etc. as per internal risk and regulatory requirements
- Understand both regulatory and business requirements and propose models that are fit-for-purpose
- Liaise with Risk Transformation and Financial Engineering teams
- starting from defining the objectives to model development/testing, building the model in Python, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny
- Act as an SME (Subject Matter Expert) in pricing & risk computations for Equity and FX products and liaise with both Front Office Traders, Quants and Traded Risk
- Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change.

Key skills we're looking for:

- Masters level in Math/Science/Engineering/IT discipline
- Clear and demonstrable familiarity with key market risk measures and regulations
- Good knowledge of derivative products, pricing and risk models (for Equity and FX in particular, but other asset classes would be a plus)
- Advanced programming skills in Python. Knowledge of C++, Matlab and / or R is a plus although not a prerequisite
- Experience with software build systems, version control (Git, GitHub) and issue trackers (JIRA). Experience in agile workflow is a plus
- Ability to write clear and understandable technical documents
- Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams
- Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level
- May lead and guide more junior analysts

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