Market Risk Methodology recruitment
Market Risk Methodology
Salary £80,000 to £90,000 + bonus + benefits
City of London
Company:
They are the London branch of a tier-one European investment bank, providing financial services to a range of private, corporate and institutional clients. They have a strong presence in all of the major financial centres.
Role:
This involves dealing with the risk methodology and the quantitative considerations relevant to market risk. The role has two main elements:-
- Methodology:-
- Engaging in the specification and the development of quantitative methods used for measuring market risk.
- Responsibility for ensuring completeness of risk capture in VaR or otherwise, as well as the day to day performance of the VaR model.
- Model Validation and Enhancement:-
- Responsibility for independent review and validation of the front-office models used by the firm for PL and risk-sensitivity reporting purposes.
- Engagement in inter-departmental Model Valuation Groups and addressing current important valuation issues pertaining to the firm.
Who they are looking for:
- Masters Degree (or equivalent) in a quantitative discipline
- Strong knowledge of quantitative risk models and analytical skills
- Good understanding of financial products
- Strong prototyping skills / experience in using statistical software
- Experience in quantitative finance, risk management or risk control is an advantage
- Strong communication skills, in particular the ability to explain technical issues to a range of people, including management and regulators
- Fluent command in English
