Quantitative Risk Management Leader
4 weeks ago
We are seeking a highly skilled Quantitative Risk Management Leader to join our team at a Top-Tier Global Investment Bank. As a key member of our Risk Engineering team, you will be responsible for providing modelling support for VaR, SIMM, and FRTB methodologies, as well as developing alternative models and methodologies for model risk.
Key Responsibilities:
- Provide modelling support for VaR, SIMM, and FRTB methodologies
- Develop and implement quantitative solutions for risk management
- Collaborate with Front Office Quants to provide modelling support for VaR, SIMM, and FRTB
- Improve client risk tools and be involved in the development of next-generation tools
- Day-to-day support of stakeholders in all model-related questions
Requirements:
- 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 and 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
This is an excellent opportunity to work on cutting-edge models in a highly quantitative global environment. If you are a motivated and experienced Quantitative Risk Management professional looking to take on a leadership role, please apply.
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Quantitative Risk Management Leader
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London, Greater London, United Kingdom Top-Tier Global Investment Bank Full timeJob Title: Quantitative Risk Management LeaderJoin our esteemed Risk Engineering team at a Top-Tier Global Investment Bank as a Quantitative Risk Management Leader. This is an exceptional opportunity to leverage your expertise in quantitative risk management and lead the development of cutting-edge models in a highly quantitative environment.Key...
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Quantitative Risk Management Leader
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London, Greater London, United Kingdom Top-Tier Global Investment Bank Full time{"h1": "Quantitative Risk Management Leader", "p": "We are seeking a highly skilled Quantitative Risk Management Leader to join our Risk Engineering team at a Top-Tier Global Investment Bank. As a key member of our team, you will be responsible for providing modelling support for VaR, SIMM, and FRTB methodologies, improving client risk tools, and developing...
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