Market Risk Quantitative Analyst Market Risk Quantitative Analyst …

Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 03 Aug 21
Negotiable
Selby Jennings
in London, United Kingdom
Permanent, Full time
Last application, 03 Aug 21
Negotiable
A Global professional services provider is looking for an experienced Market Risk Quantitative analyst to join their Pricing and Derivatives desk. They will be responsible for the development and validation of Pricing models, Market risk models and Stress testing models, playing a key role in the development of the middle office function.

Key responsibilities of the position:

  • Reporting and analysis of Pricing models, Market risk models and Stress testing models, in collaboration with New York and London.
  • Responsible for conducting qualitative reviews of the models- with reference to the base model, product description and its mathematical parameters.
  • Working to collaborate with other model stakeholders such as Front Office, Quantitative Analytic's, Market Risk.
  • Develop and code the companies challenger models for bench marking and for validation of high-risk models
  • Using a mathematical and implementation perspective to validate models and review the applicability pricing/approval of /volatility modelling.
  • Drafting of validation reports and communicating findings to senior business management and key stakeholders.
  • Document model validation testing following up with stakeholders on modelling issues.

Key requirements of the position:

  • A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
  • Experience working in a Model Validation, Pricing or Risk Management role.
  • Minimum 5 years' experience working in a financial, building and/or validating risk models
  • Experience programming and coding in Python, SQL or C++.
  • Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
  • Knowledge and experience of probability theory and stochastic calculus.
  • In depth knowledge of derivative pricing models, volatility/correlation models or VaR, ESF models
  • Willing to be based in London.
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