Job Details

Market Risk Quantitative Analyst

London, United Kingdom, Permanent

Posted: 10 hours ago


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.

Job Details

Full Time
London, United Kingdom