Senior Quant required, Market Risk Analytics, needs end to end Modelling, VaR, Expected Shortfall, OVA, Requires VaR model development and VaR data analysis.
Senior Quant required, Market Risk Analytics, end to end Modelling, VaR, Expected Shortfall, XVA
- Lead the end to end model development cycle to transit from current IBOR risk factors to the new Risk-Free Rates (RFR) in the IMA VaR model.
- Lead the setup and backfilling of historical data for the new RFR risk factors.
- Lead the development of the relevant Risk not in VaR (RniV) models related to new RFR risk factors.
- A strong understanding of risk management and portfolio management models (VaR, Expected Shortfall, XVA) and recent experience in VaR model development and VaR data analysis.
- Financial instruments across different asset classes (especially interest rates and credit).
- knowledge of current CRR regulations and FRTB.
- model life-cycle and model governance.
- simulation methods and statistical model development.
- data analysis using Python.
- a proven record of market risk model development and of leading large-scale market risk projects.
Superb opportunity within strong growing and successful team. Remote working/City firm.