Market Risk Models Quantification Specialist

4 weeks ago


London, Greater London, United Kingdom Millar Associates Full time
Market Risk Models Quantification Specialist

This is an excellent opportunity to work on cutting-edge models in a highly quantitative global environment. As a Market Risk Models Quantification Specialist, you will be responsible for providing modelling support for Interest Rate Vol, Curves, Swaptions and VAR methodologies.

Key Responsibilities:
  • Provide modelling support for IR Vol, Curves, Swaptions and 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 Desks & Risk Management & other Quants
Requirements:
  • Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
  • Sound judgement in assessing the strength and weaknesses of modelling approaches
  • Strong knowledge of Interest Rate models, Curves, CMS, (FX Options useful as well)
  • Good knowledge of stochastic calculus and IR modelling is an absolute must
  • Experience gained in either a Model Validation, Quantitative Risk or Front Office will be of interest
  • Experience implementing derivative valuation models in C++ or C#
  • Strong communication skills (English) both written & verbal


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