Equities VAR Quant Analyst - VP Equities VAR Quant Analyst - VP …

Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Last application, 18 Feb 20
Competitive
Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Last application, 18 Feb 20
Competitive
Equities VAR Quant Analyst - VP
Global investment bank seeks VP level Market risk Quant to focus on Equities VAR Models..

Being part of the MRM team in London, you will get exposure to
modelling in a wide variety of models in areas such as risk models
(VaR/RNIV, EPE) and other business-impactful models used throughout
the bank etc. The team's broader model risk scope also guarantees a
significant level of interest and visibility to the business and
senior management. Opportunities to present results to business
partners as well as peers are numerous, allowing you to widen and
develop their network and reputation.

Perform the full validation of risk models (VaR and RNIV) supported by
in-depth reviews based on statistical analysis of time series and risk
methodologies. Meeting business needs and regulatory expectations with
responsibility for investigating key aspects of each model under
review choice of modelling approach, the modelling assumptions and
limitations, model performance and usage.

Liaising with regulators and preparing meeting materials for
interactions with the PRA, Finma and the Fed. Manage partner
interaction and relations in governance forums.

Investigate the bank's risk methodologies and quantify the impact of
assumptions and limitations given the regulatory requirements from the
PRA, Finma and the FED. Prepare the analysis to address and closure of
audit points related to IMA (internal models approach) models, in
particular, VaR and RNIV.

You Offer

Hold a PhD (or Masters paired with relevant experience) in a
quantitative discipline, e.g. Mathematics, Physics, Engineering with
experience in financial modelling and/or model validation.

Experience in financial modelling for Equity Derivatives products with
a focus on Market Risk models (VaR, RNiV and FRTB).

Hands-on experience in risk and capital modelling, stochastic calculus
and should be able to demonstrate an understanding of capital
modelling, financial mathematics and derivative products.

Experience handling at least one direct report delivering high quality
results within strict deadlines.

Good programming experience is a plus (such as C#, F#, Python or R).

Outstanding written and verbal communication and interpersonal skills

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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