Quantitative Analyst (Market Risk)
- 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.
- 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.