Market Risk Quantitative Analyst
Londres, Angleterre, Royaume-Uni
Work with Risk Analytics/Quant modeling teams in delivering various analytical projects
- Modelling of Market Risk models across risk types and various asset classes
- Validate models in accordance with model risk management
- Work on market risk model building/prototyping, enabling a clear understanding of the skills required for regulatory risk calculations viz. VaR, SVaR, IRC models.
- Perform ad-hoc quantitative modeling assignments
- 2-5 years (across levels) of relevant risk analytics/quantitative analytics experience
- PhD or Post-Graduate Degree in Business/ Statistics/ Mathematics/ Economics/ other quantitative disciplines would be preferred.
- Understanding of approaches to calculate market risk for various traded instruments
- Previous experience of developing VaR risk factor and portfolio back-testing / performance monitoring tools.
- Programming skills: VBA, with knowledge of any other object oriented language preferred (C++, Python)