Market Risk Analytics Consultant - Incremental Risk Models

Location
London, United Kingdom
Salary
Competitive day rate (PAYE )basis.
Posted
01 Oct 2022
Closes
05 Oct 2022
Ref
16193062
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Core Responsibilities:

This impactful role will work on the development and testing of Incremental Risk Charge model.

Main duties:

• Development, review, testing and enhancement of IRC model.
• Development of extensions and additional capabilities to market risk capital calculations.
• Collaborate with the other teams (data, IT, change management) to ensure that model changes and extensions are appropriately implemented.
• Support model developers throughout the model development and implementation cycle by providing ad-hoc analysis or any other relevant request
• Document model extensions and associated developmental analysis, present results to partners and stakeholders
Skills required
• A minimum of 6 years relevant experience in quantitative risk role within an investment bank or in similar quantitative roles within finance, e.g. risk methodology, model validation, quantitative analysis
• Incremental Risk Charge modelling expertize is strongly preferred
• Good understanding of quantitative risk model development, including good knowledge of financial products and their risk representation.
• Demonstrable experience in delivering enhancements to models, ability to produce high quality, accurate work, under pressure and to tight deadlines
• An excellent academic background, including an advanced degree in a quantitative discipline, such as quantitative finance, statistics/mathematics, sciences or engineering.
• Excellent mathematical, analytical, problem solving and troubleshooting skills
• Strong programming skills and demonstrable experience in coding numerical methods and algorithms, data analysis and manipulation.
• Advanced knowledge of at least one prototyping programming language ( e.g. Python)
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