London based | Senior Level Quantitative Risk Analyst | European Investment Bank recruitment
My client is searching for an exceptional individual to come on board and join their thriving Quantitative Market Risk team. The group have been going from strength to strength this year and are planning further expansion in the next 12 months. Therefore there will be great opportunities to progress and move up through the team quickly. The successful candidate will be developing quantitative risk methodologies for measuring and monitoring credit risk, market risk and ALM risk. This role will require a high level of mathematical finance ability including the validation of complex derivative pricing models and needs a highly experienced individual. Therefore compensation levels are known to be very competitive for the right candidate.
Requirements:
-candidate will be using mathematical and technical skills to provide quantitative analysis and support to senior management and other risk departments.
-Stress testing current models and identifying any potential risks that might affect the trading products.
-Implementing pricing models, you would be working across the asset classes
-Developing risk management tools, including enhancing existing models and designing and implementing new models.
- Assist in identifying financial risk issues and providing solutions
-Library maintenance of models to support enterprise wide risk management.
The successful candidate would ideally have:
-PhD or MSc in Mathematics/Physics or other related quantitative subject.
- Must have experience of VaR modelling and ideally knowledge of RWA
-A thorough theoretical understanding and practical experience of financial derivatives and associated pricing issues.
-Programming skills desired e.g. C++, C#, Java etc.
-Strong knowledge of using VBA and Excel (which is heavily used).
-Strong analytical skills.
-Excellent level of Financial Mathematics i.e. stochastic calculus, PDE modelling, binomial trees, etc.
To apply or for more information please contact quantexotic@selbyjennings.com or call +44 207 019 4137, www.selbyjennings.com
Key words:
Model Validation; Quantitative Analyst; Derivatives; Exotics; Foreign Exchange; XA; Interest Rates; Equity; Commodity; Derivatives; Vanilla; Trading; Traders; London; Risk; Risk modelling; VaR.