Associate to Senior Manager – Quantitative Risk Consulting recruitment
Overview
The team services prestigious Investment Banks across a variety of risk management disciplines including; Pricing Market Risk Model Validation, Counterparty Exposure Management and CVA Hedging RWA / Portfolio Optimisation. Due to growth, they're looking for a number of consultants to come in at varying levels to offer excellent quantitative solutions to their prestigious clients.
The Role
Reviewing and validating counterparty risk exposure methodologies and associated fair value adjustments (CVA / DVA)
Performing model validation for valuation models across asset class
Developing tools and models that can be used for independent price verification teams
Developing stress testing methodologies including aggregation for market risk reviewing and validating VaR methodologies
Defining hedging strategies using derivative instruments and demonstrating their effectiveness to manage risk
The Candidate
Either a strong background in; Counterparty Exposure Management, Market Risk Model Validation, Pricing Models or VaR Metholodgy.
Quantitative Degree / MSc / PhD
Preferably cross asset class exposure (Rates/ FX, Credit, Equity, Commodity)
VaR or stress testing methodologies
Effective communication and presentation skills
If you would like more information, please contact Jamie Brimage on 0207 970 9615 or e-mail Jamie.brimage@psdgroup.com