Quantitative Analyst – Market Risk / FRTB – C# - Investment Bank
- Location:London, England, United Kingdom
- Job Type:Contract, Full time
- Company:Alexander Ash Consulting
- Updated on:17 Jun 18
Quantitative Analyst – Market Risk / FRTB – C# - Investment Bank. A leading investment bank are creating new market risk models for future compliance with FRTB and have a fantastic opportunity for an experienced Quantitative Analyst to play a key role in the definition fo expected shortfall models.
As a Quantitative Analyst you will be responsible for deploying advanced financial mathematics in the defining and implementation of quantitative models for market risk monitoring and measurement, which will include defining expected shortfall models for credit and/or repo products.
You should apply for this role if you are/have:
- 7+ years quantitative analysis experience within major investment banks/hedge funds
- Deep understanding of advanced financial mathematical concepts
- Strong market risk modelling knowledge including VaR models and historical simulation
- Ideally an understanding of FRTB principles, in particular Expected Shortfall
- Programming and modelling skills in C#
- Fixed income product knowledge – ideally credit and/or repo products
- MSc educated, ideally PhD educated in mathematical or economic subject
This is an initial six month role at £700-£900/day based London.