Quantitative Risk Analyst, Portfolio Risk Management recruitment
The Team:
The Market Model Risk team is a front office team primarily in charge of measuring and monitoring the Bank’s exposure to market risk. The team also validates or develops pricing models for the capital markets instruments traded by the Bank.
Market Model Risk team works in close co-operation with the desk, quants, other Risk Management teams, the Treasury and Banking.
The products handled encompass the whole range of interest rate, foreign exchange, credit and equity instruments available in the financial markets, with a strong bias towards either equity or debt instruments of limited liquidity.
Your Background:
• MSc or PhD in mathematics/physics/engineering or financial mathematics
• 1 to 2 years experience in a quantitative risk role
• A good knowledge of capital markets instruments (with some bias towards interest rate derivatives pricing) and risk management methodologies (Greeks, risk measures) will be required
• Strong analytical skills including stochastic processes, Monte-Carlo methods and numerical methods for partial differential equations
• Very good programming skills including Excel/VBA and/or C++, and database interrogation tools (e.g. SQL). Knowledge of Matlab would be a plus.
The position:
The role covers two important areas of responsibility of group Market and Model Risk. Firstly, the monitoring of market risk in the Bank with the ongoing enhancement of the methodologies and, secondly, the data capture and modelling of complex transactions for portfolio risk calculations.
Send your CV immediately for consideration.
Contact I.T.S City
To talk directly with us to discuss this vacancy and the client, please contact Simon Adams on:
Email: simon@its-city.com
Direct Line: +44 (0) 203 283 4095