Key Responsibilities …
- Model development & model prototyping of Market Risk models/Counterparty Credit Risk Models/Wholesale Credit Risk models
- Assess and validate performance of risk models using real world data
- Understand features, assumptions, and limitations of the models, propose a validation approach, identify target market data and undertake validation
- Identify areas for improvements, automation, and enhanced controls
- Document enhancements in accordance with the onshore standards
- Participate in ad hoc projects
- Articulate our modelling approach to internal and external stakeholders in a non-technical language
- Assist in the on-going application of the models in a business-as-usual risk management framework.
- 1 - 5 years' experience in roles involving quantitative finance
- Ph.D./M.Sc. candidate/holder in Physics/Mathematics/Quantitative Finance or related disciplines
- Strong analytical skills: any experience in market risk analysis is a plus
- Good understanding of statistics, linear algebra, analysis
- Excel and VBA skills are a pre-requisite
- Familiarity with sophisticated tools for numerical analysis (eg. Mathematica, Matlab, Python)
- Basics of market risk measures (VaR, ES, PnL) and derivatives (Forwards/Futures, Options, Swaps)
- Professional qualifications such as FRM/PRM/CFA Levels are a plus
- Ability to work under pressure and to tight timelines is essential
- Competent in the production of information, and the ability to process and analyse large data
- Open personality and effective written and oral communication skills in English
- Ability to work in a diverse international team
Please apply here, or if you would like more information please get in touch!
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.