The role is working for one of the worlds largest asset manager .The role will be looking across Market, Credit, Liquidity and Business risk across all business models.
- Look at the risk with the fund where they run traditional risk metrics, var. back testing and how they manage hedging.
- Look at ICAP and the models which are owned by the team, as well as developing on the models.
- Look after counterparty risk across the firm, fund and corporate.
- Look at the pension fund.
- Business risk – do business risk modelling, capital and liquidity positions and putting statistics around it.
- Counterparty risk monitoring
- Corporate liquidity monitoring and analysis
- Reporting/analysis relating to the above and preparing presentations for a senior audience.
- Monthly economic capital calculations for Market, Credit, Operational and Business risks – interpret results and explain changes. Ongoing maintenance of quantitative models
Key Skills and Experience:
- Strong academics – degree educated in a highly numerate subject.
- An interest and understanding of financial markets and basic concepts such as option pricing, Value at Risk, Monte Carlo simulations and fat-tailed distributions
- Knowledge of distributions, statistics and time series analysis. Exposure to financial models like Normal/Log Normal/Multivariate/Mean Reverting a plus
- Working knowledge of pricing and risk measurement techniques e.g. Tree pricing, Monte Carlo
- Essential IT skills: VBA, Python
If you would like to know more or would like to apply for the role please feel free to email firstname.lastname@example.org