Quantitative Modeller – Incremental Risk Charge recruitment

A leading investment bank has a new exciting opening as a Quantitative Modeller focussing on the Incremental Risk Charge model. The Incremental Risk Charge model is a regulatory model that is used to compute an element of the Market Risk Capital. You will need good VBA and C++ skills, and development of the model is required to satisfy regulatory obligations. You will need good communication skills, great interpersonal skills and an excellent team player.

Role/Responsibilities

- The Incremental Risk Charge model is a regulatory model that is used to compute an element of the Market Risk Capital.

- Further development of this model is required to satisfy the bank's regulatory obligations.

- The development and implementation of the required enhancements to the Incremental Risk Charge model.

- The system testing of the Incremental Risk Charge solution.

- The creation and maintenance of detailed model documentation, testing documentation and user manuals.

- Any training required by the model users

- Ensuring that the project remains on track by continually providing feedback to Senior management.

- When appropriate, assisting in the preparation of documents for the internal model governance process and the FSA.

Skills

- A Master or PhD in Analytical Science, mathematics/quantitative discipline or equivalent

- Quantitative Finance skills, in particular, in Risk modelling and the IRC model.

- Experience in the pricing and modelling of CDS and Bond portfolios.

- Excellent programming skills (VBA C++) for the development of robust and production standard applications.

- Experience of building and maintaining databases (Access) would be advantageous.

To apply for this Quantitative Modeller - Incremental Risk Charge position you must have the experience as outlined above and be a hands-on, organised self starter with strong interpersonal skills and tenacity. You should also posses excellent oral written communication skills along with a thorough approach to analysis.