Quants / Risk Quants
The Role
Develop models related to:
-Pricing,
-Value-at-Risk,
-Stress Testing,
-Liquidity Regulatory Capital
- Also developing tools for Portfolio Analytics
Perform back testing and statistical analysis required to ensure the adequacy of margin coverage and justify other model assumptions.
Enhance existing risk models as well as designs/prototype new models across different asset classes like OTC and Futures (e.g. Pricing, VaR, Backtest, Stress, Liquidity etc)
The Candidate
MSc / PhD in a quantitative discipline
Strong knowledge of pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns’ distribution, volatility, correlations, etc.)
Previous experience developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR,
Experience in probability theory, stochastic processes, and have experience providing theoretical justifications of Risk Models they have developed.
Programming languages also required (C++, MatLab etc)
If you would like more information, please contact Kate Winthorpe on 0203 141 8014 or e-mail risk.emea@gqrgm.com
VISIT US | www.gqrgm.com
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LONDON | 0203.141.8014
Westminster Tower, London, SE1 7SP | Office Hours: 8.00-20.00 GMT
LOS ANGELES | 1.310.807.5025
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
GQR Global Markets
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