Quantitative Risk Engineering Leader

1 month ago


London, Greater London, United Kingdom Top-Tier Global Investment Bank Full time

Job Title: Quantitative Risk Engineering Leader

About the Role: We are seeking a highly skilled Quantitative Risk Engineering Leader to join our team at Top-Tier Global Investment Bank. As a key member of our Risk Engineering team, you will be responsible for leading the development and implementation of quantitative solutions to support our risk management efforts.

Key Responsibilities:

  • Provide modelling support for VaR, SIMM, and FRTB methodologies
  • Develop and improve 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

Requirements:

  • Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
  • Strong knowledge of mathematics and stochastic calculus
  • Solid experience of implementing derivative valuation models in C++ or C# in either a Front Office or Model Validation environment
  • Experience in either a model validation or model development role with exposure to SIMM and Regulatory models

Desirable:

  • Understanding of IBOR Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback


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