Traded Risk Quant Manager

  • GBP85000 - GBP135000 per annum
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • Black Swan Group
  • 13 Jul 18 2018-07-13

My client are a top tier investment bank based in London, with a wide Global reach. They are looking for a candidate with a strong Quantitative Risk background in Investment Banking to join them as a Traded Risk Quant Manager. The role will be focused on analysing, investigating and identifying issues with CCR & XVA models and then developing suitable methodologies/software/library components for accurate Risk measurement.

My client are a top tier investment bank based in London, with a wide Global reach. They are looking for a candidate with a strong Quantitative Risk background in Investment Banking to join them as a Traded Risk Quant Manager. The role will be focused on analysing, investigating and identifying issues with CCR & XVA models and then developing suitable methodologies/software/library components for accurate Risk measurement.

Candidate responsibilities

  • Reviewing, improving and rebuilding when necessary the suite of Models and Methodologies
  • Lead and drive forward system and data infrastructure improvements for CCR & XVA models
  • Co-ordinating projects focused on the alignment of Methodologies, Governance and Group-Wide Policies
  • Provide suitably calibrated and applied Traded Credit Models to ensure the accuracy of Allocation, Management and Quantification of Risk
  • Maintain and develop understanding of Regulatory requirements to ensure the business is informed of regulatory changes and is provided regulatory approval for effective Credit Models
  • Development of new models in small time-frames, utilising an understanding of Traded Credit Risk and using advanced Stochastic Calculus and Programming languages
  • Explaining model details in non-technical language

Candidate requirements

  • At least 4 years of experience working in a XVA/CCR Quantitative Analytics team, building simulation models and developing simulation solutions in C++ libraries
  • Involvement in successful ECB submission
  • Masters degree or higher in a Quantitative subject
  • Experience of key risk measures like XVA, CVA, EPE, PFE
  • Highly advanced C++ developer

To apply or for more information, please get in touch at Joshua.grant-butler@blackswangroup.cpm