Market Risk Quant

  • Locatie

    London, England

  • Sector:

    Banken & Financial Services

  • Soort contract:


  • Salaris:

    £80000 - £110000 per annum

  • Contact:

    Gorgui Niass

  • Email:

  • Job ref:


  • Gepubliceerd:

    3 maanden geleden

  • Termijn:


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.

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