Quantitative Analyst (Market Risk)

Maxfield Search
London, United Kingdom
Up to £65,000
27 Dec 2018
18 Jan 2019
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time

Role Responsibilities

  • Analysis in various projects with the risk analytics and quant modelling teams.
  • Development and verification of valuation/pricing and risk models for various asset classes.
  • Understanding and implementation of FRTB for clients.
  • Development and validation of market risk models to enable regulatory risk calculations for modelling skills to be understood (i.e. VaR; IRC/DRC; RNIV/FRTB-ES; NMRF; sensitivity-based risk charge).
  • Validation and documentation of models in compliance with SR11-7.
  • Occasional business trips to global offices in Asia and America.

Candidate Requirements

  • Three to six years of risk/quantitative analytics experience (across all levels).
  • Education to an MSc/PhD level in quantitative disciplines preferred.
  • Expansive knowledge of financial instruments/pricing methodologies across asset classes.
  • Understanding market risk calculation methods for various traded instruments.
  • Knowledge of quantitative methods (inc. time series analysis, PDE, stochastic calculus, econometrics, statistics).
  • Understanding of broad stress testing risk regulatory for PRA, EBA.
  • C++; Java; R; Matlab; Python; VBA; or other object-oriented programming skills.
  • CQF; FRM; CFA certifications preferred.
  • Calypso; Murex; FINCAD; Riskmetrics; or other vendor tools knowledge preferred.
  • Highly motivated and dedicated working style.
  • Strong quantitative aptitude and complex business problem solving skills.
  • Eye for detail and keenness to learn. 

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