Market Risk Quant

  • Standort

    London, England

  • Branche:

    Banken & Finanzen

  • Vertragsform:

    Festanstellung

  • Gehalt:

    £80000 - £110000 per annum

  • Kontakt:

    Gorgui Niass

  • E-Mail:

    trdaxtraadresp@thesrgroup.com

  • Referenznummer:

    PR/210444_1653467346

  • Online:

    etwa 1 Monat

  • Ablaufdatum:

    2022-06-24

Key Responsibilities

This is a senior role responsible for development and analysis of market risk (MR) models, in the equity (EQ) space. The core objectives are

  • Develop/re-design market risk models (especially for Equity products) for accurate measurement of VaR, Risks Not in VaR, etc. as per internal risk and regulatory requirements
  • Understand both regulatory and business requirements and propose models that are fit-for-purpose
  • Be responsible for Model Life Cycle and liaise with Risk Transformation and Financial Engineering teams- starting from defining the objectives to model development/testing, building the model in Python, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny
  • Act as an SME (Subject Matter Expert) in pricing & risk computations for Equity products and liaise with both Front Office Traders, Quants and Traded Risk
  • Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change.

Experience / Qualification

  • Minimum Masters level in Math/Science/Engineering/IT discipline
  • Clear and demonstrable familiarity with key market risk measures and regulations
  • Good knowledge of derivative products, pricing and risk models (for Equity in particular, but other asset classes would be a plus)
  • Advanced programming skills in Python. Knowledge of C++, Matlab and / or R is a plus although not a prerequisite
  • Experience with software build systems, version control (Git, GitHub) and issue trackers (JIRA). Experience in agile workflow is a plus
  • Ability to write clear and understandable technical documents
  • Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams
  • Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level
  • May lead and guide junior analysts
  • Open personality and effective communication skills, ability and flexibility to work in an international team

Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.

Please note that your personal information will be treated in accordance with our Privacy Policy.