Quantitative Team Lead (Market Risk/Traded Risk)

  • Standort

    London, England

  • Branche:

    Banken & Finanzen

  • Vertragsform:

    Festanstellung

  • Gehalt:

    Negotiable

  • Kontakt:

    Phoebe Cheung

  • E-Mail:

    trdaxtraadresp@thesrgroup.com

  • Referenznummer:

    PCH - Risk_1610104444

  • Online:

    seit 7 Monaten

  • Ablaufdatum:

    2021-02-07

  • Start:

    ASAP

  • Berater:

    #

My client, a Top Tier Financial Services Institution is looking for a Quantitative Team Lead to join their team.

This is a permanent role based in London. This role is part of the Front-Office Risk Methodology / First line risk team reporting to the team head.

Key accountables:

  • Defining margin algorithms (Pricing models, risk models and parameter calibration) in a standard consistent with regulation and internal policies
  • Getting approvals from a variety of internal/external stakeholders for new products/models
  • Writing Business requirement for IT teams
  • Developing and implementing quantitative solutions
  • Prototyping and testing (UAT)

Responsibilities:

  • Project work and SME input and implementation of Market Data and Risk related change/projects - Significant involvement is required for any development relating to instrument data or validation changes.
  • Analysis of market data to look for trends and new business opportunities.
  • Development of the automated eligibility solutions.
  • The role will need to be key communication point between IT, App Support teams, businesses teams.
  • Prototyping and developing end-to-end pricing and margin algorithms addressing various types of risk and financial products
  • Analysis and implementation of performance improvements to the existing VaR/SPAN models across different products in production systems
  • Validation/Analysis/Development of the compression and netting algorithms
  • Maintenance and support of the existing risk libraries and risk simulators
  • Risk Management Responsibilities - Responsible for the generation of daily, weekly, monthly risk reports, ad-hoc risk management tasks.
  • Risk Analyst manager required with skillset to automate and build resiliency around all aspects of the margin and default management process. This includes developing both productionised numeric-based solutions and tactical R script solutions, contributing to First Line Risk quant library

Requirements:

  • Degree or equivalent finance/quantitative finance, mathematics, computer science-related disciplines, preferably a Masters' degree or PHD.
  • 7+ years experience
  • Experience of risk management or quantitative role
  • Experience in delivering production numeric solutions
  • Sound conceptual / technical knowledge of a risk model and IT infrastructure
  • Computational skills (SQL, R, VBA, Java) and good numerical competency.
  • Autonomy, problem solving skills
  • Effective critical analysis and reasoning skills.
  • Effective communication skills (written and oral)
  • Ability to go into the details and convey messages to a variety of audiences
  • Ability to work with team delivery environment

For more details, please send your CV to phoebecheung@taylorroot.com

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