Risk Quant recruitment

The role will include stress testing VaR (value at risk) calculations in the models and building VaR models using VBA. The models will then need to be documented, as will the stress tests.

Candidates may come from a model validation or valuation / pricing quantitative background, as long as the below requirements are met.

Essential Requirements:

Quantitative risk - suitable candidate will be quants
Excellent understanding / practical experience of VaR models
Stress testing
Excellent VBA skills (to programming level preferably)
Strong modelling skills
C++ (not essential)
Commodities (not essential)