Quantitative Risk Management Leader

4 weeks ago

London, Greater London, United Kingdom Top-Tier Global Investment Bank Full time
Job Title: Quantitative Risk Management Leader

Join 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 Responsibilities:
  1. Provide modelling support for VaR, SIMM, and FRTB methodologies, working closely with the Front Office Quants to deliver high-quality results.
  2. Develop and implement quantitative solutions to improve the client Risk tools and contribute to the next generation of risk management systems.
  3. Collaborate with the Risk Engineering team to develop alternative models and methodologies for model risk, ensuring the highest standards of accuracy and reliability.
  4. Support the improvement of Risk systems and tools, including C# code base, to ensure seamless integration with existing systems.
  5. Provide day-to-day support to stakeholders, including the trading desk and risk management, on all model-related questions and concerns.
Requirements:
  1. Masters or PhD in a quantitative field, such as Physics, Maths, or Engineering.
  2. Strong knowledge of mathematics and stochastic calculus, with a solid understanding of interest rate models and curves.
  3. Sound judgement in assessing the strength and weaknesses of modelling approaches, with a focus on delivering high-quality results.
  4. Experience in model validation or model development, with exposure to SIMM and regulatory models.
  5. Solid experience in implementing derivative valuation models in C++ or C# in a Front Office or Model Validation environment.
Desirable:
  1. Understanding of IBOR Benchmark reform, including RFR cap/floor pricing and CMS Fallback.

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