My client, a top tier investment bank is looking for a Market Risk Quantitative Analyst, VP to join their Market Risk Quant Analytics team based in London. You will be responsible for FRTB methodology analysis and FRTB model implementation.
- Maintenance of current risk applications and models
- Come up with clear and solid designs to implement proposed modelling changes, to deliver in dynamic, agile, and often ambiguous contexts
- Deliver prototypes using or extending as appropriate our Python-based modelling platform
- Develop the models in C++/Python/R and assist IT to integrate them into the production system.
- Participate to the design and the development of a robust, scalable, and extendible Market Risk solutions and their integration into the Risk engines framework.
- Support Risk, FO and IT users of our analytics
- Familiarity with market risk models (ideally with VaR) or pricing models.
- Familiarity with and experience in the implementation of the FRTB Framework
- Quantitative & statistical skills, knowledge of financial concepts & products
- Organized, with great attention to detail; strategic thinker, capable to deliver on time
- Ideally Python or R or C++ programming skills. Ideally should include scientific stack (numpy pandas, scipy etc…), multi-processing, caching, and handling complexity
Please send your CV to firstname.lastname@example.org
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.