Market Risk Quantitative Analyst VP

  • £100,000 - £120,000 + excellent benefits
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Gresham Hunt
  • 18 Jul 18 2018-07-18

Gresham Hunt are representing a leading global Bank in their search for a Market Risk Quantitative Analyst VP.

Gresham Hunt are representing a leading global Bank in their search for a Market Risk Quantitative Analyst VP.

 

The person:

 

  • Master’s degree or PhD (or equivalent) in applied mathematics, quantitative finance or related scientific area from a top university.
  • Experience of relevant work experience in market risk modelling, ideally with exposure to model review.
  • Deep understanding of the theoretical grounds of quantitative finance and of the corresponding mathematical frameworks.
  • Good understanding of market risk and the relevant regulatory environment.
  • Computer programming skills (C++, Matlab, R).

 

The role:

 

  • Assessing the theoretical framework, implementation, and performance of market risk models (VaR, SVaR, RNIVs, IRC) used for managing the bank’s exposure to market risk and for calculating regulatory market risk capital (RWA).
  • Providing independent analysis of the assumptions underlying the proposed models, their limitations, their relevance for the proposed uses, the quality of their implementation and of the input data, the adequacy of governance and compliance with regulations, and accompanying documentation.
  • Performing adequate testing and coordinating related testing performed by offshore analysts.
  • Maintaining strong relationships with model owners, developers and users.
  • Being a reference in terms of knowledge of the models and techniques used by the industry, keeping ahead of future developments by performing relevant research work to ensure review independence and quality.

 

Please contact mark.mcloughlin@greshamhunt.com for more information.