Quantitative Risk Analyst – Market and Credit Risk Methodology recruitment
Quantitative Risk Analyst - Market and Credit Risk Methodology
A leading international investment bank is seeking a Quantitative Risk Analyst to join their Market and Credit Risk Methodology team in London. The team will be responsible for developing new risk models and provide quantitative support to the risk function.
Responsibilities:
• Leading and conducting research on emerging techniques for modelling market risk and counterparty credit risk
• Prototyping and proposing new risk models, including VaR, CVA, PFE models
• Ensuring models are subject to adequate review and ongoing validation
• Providing quantitative support to other Risk functions
• Keeping abreast of emerging regulatory requirements and industry developments
• Ensuring that current models are consistent with regulatory requirements
Skills/Requirements:
• Degree level education in a quantitative field such as Mathematics, Statistics, Econometrics, Mathematical Finance, Economics or Engineering; Postgraduate qualification/PhD would be advantageous
• Experience in Market Risk and counterparty risk exposure methodologies
• Experience of market and credit risk modelling (e.g. Value-At-Risk (VaR) Credit Structural models, CVA, PFE)
• Strong derivatives knowledge - FI, Equities, Inflation products etc.
• A working knowledge of SAS is essential. Knowledge of alternatives such as SQL, E-Views, SPSS or any other statistical software is advantageous
• Solid project management skills
If you would like further details on this position, please contact me on the details below.
Vi-Linh Ha
Risk Consultant
DL: 0207 422 9058
London Office: 0207 422 9000
Email: vha@mcgregor-boyall.com
Website: www.mcgregor-boyall.com http://www.mcgregor-boyall.com/