Market Risk Manager - Quant Modelling - FRTB
- London, England, United Kingdom
- Permanent, Full time
- Alexander Ash Consulting
- 16 Jan 17
Market Risk Manager / Quant Modelling / FRTB / Valuations / Risk Models / Stress Testing / Basel 4 / Manager / Var /
For this reputable consulting firm we are looking for a number of Market Risk Quant Managers to be involved in an implementation of the Fundamental Review of the Trading Book (FRTB) change initiative. You will be advising and assisting clients with the impact of the changing capital requirements framework (‘Basel 4’), with particular focus on the new market risk requirements and quantitative modelling.
- Valuation Assurance :
- Model Development and Validation
- Excellent knowledge of valuations of OTC derivatives, fixed income instruments, securitized products and hard-to-price securities.
- Strong understanding of counterparty credit risk calculations including CVA, DVA and FVA calculations, as applicable
- Knowledge of hedge effectiveness modeling would be preferred
- Knowledge of excel and VBA is a mandate. Working experience on one or more tools and languages including FINCAD, Bloomberg, MATLAB, Python, C, C++ is highly preferred
- Economic and regulatory capital Models - for Market Risk based on CCAR and BASEL requirements. Capital modeling experience in Credit Risk and Operational Risk (Ops VaR) would be an added advantage.
- Balance sheet forecasting Models
- CCAR, DFAST and BASEL Stress testing models - including PPNR, RWA etc
- Liquidity Risk Models including LCR, NSFR etc
- Market Risk Models - to quantify risk trade level risk exposures including Greeks and Sensitivities, portfolio level risk exposures including VaR, SVaR, and ES, EVT models, etc
- Asset Liability Management Models - cash flow forecasting, static and dynamic gap modeling, EVE and EaR modeling, NII and NIM Modeling
- Counterparty credit risk Models - including CVA, DVA and FVA Modeling
- Credit Risk Models - PD, LGD and EAD models
- Pricing and Valuation Models (Highly preferred) :
- Pricing / Valuation Models - for OTC derivatives, fixed income instruments, structured products and hard-to-price securities
- Macro-economic forecasting models - Capital market expectation models, economic scenarios generation models for forecasting of FX, interest rates, inflation, index, etc.
- Hedging models - Static and dynamic hedging models
- Portfolio Analytics Models - Asset allocation models, risk-return optimization models, etc.
- Advanced computational models - Monte Carlo models, PDE models, Stochastic and other numerical techniques models
- Statistical Analysis Models - Cross sectional regression models (simple and multiple linear regression), time series models (trend models, AR, ARIMA, ARCH, GARCH, Co-integration, etc.)
- Tools and Programming languages: Knowledge of Excel and VBA is a mandate. Experience on one or more including MATLAB, SAS, Python, R, C, C++, FINCAD, Bloomberg, QRM is highly preferred.
- B.Tech from Tier 1 institutes like IITs, NITs, etc.
- Advanced Quantitative Degrees including Masters in Financial Engineering, Masters in Risk Management, etc. would be most suited
- Professional Certifications like the CFA and FRM will be an added plus
- Certification in Quantitative Finance (CQF) is a definite plus.
- Bachelor's or Master's degree in statistics would be highly preferred.
- MBA from Top tier institute would be an added advantage
Additional requirements for Manager level candidate:
- Should be leading a team of 8-10 quantitative resources
- Must have an experience of at least 2 years working in the capacity of Manager/Senior Manager, AVP in an tier-1 investment banking captive, or equivalent
- Should have experience in all aspects of business and people management
- Experience of setting up a new team or new capabilities within a team would be a definite plus.
- Should have been responsible for the business targets and utilization of subordinates