Quantitative Analyst – Risk Methodology recruitment
- Quantitative Analysis role
- International Bank
- Attractive remuneration
Our client is a top tier investment bank. Due to growth, they are looking to recruit two quantitative analysts responsible for the VaR model methodology (General Market Risk, Specific Risk and Incremental Risk Charge). The position holder will participate in the definition, implementation and maintenance of effective controls around the VaR model.
Key roles and responsibilities
- Test new pricing models configuration before they are integrated in risk reports
- Produce Quarterly VaR model performance report
- Develop ad-hoc analysis tools to measure the VaR model performance
- Define and implement enhancement to the VaR methodology
- Support Risk Managers in all VaR related queries
- Liaise with IT on all market risk platform queries
Qualification skills
- MSc in statistics, probability or related subject
- At least 5yrs experience in risk management and measurement
- Academic and/or professional experience in data analysis