SVP / Director
The Role
- Develop validate models related to Pricing (predominately fixed income products), Value-at-Risk, Stress Testing, Liquidity Regulatory Capital
- Develop tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.)
- Lead the development of strategies to perform back-testing of risk methodologies to ensure adequacy of different models and assumptions, and will be responsible to present and defend his work to key stakeholders.
- Substantial interaction with the Clearing Technology Department to lead the process of implementing, testing and maintaining these risk models.
The Candidate
- Either extensive experience in a development / validation capacity of fixed income (FX, IR or Credit) pricing models, or previous experience in developing and validating risk models (ideally counterparty risk models).
- Sound academics – educated to minimum MSc level, PhD preferred
- Subject Matter Expertise level experience in advanced pricing models (options) and numerical methods like Monte Carlo, Volatility Forecasting, PDEs, etc.
- Understand Dodd-Frank and other regulatory requirements as they relate to clearing
- Previous team management experience ideal but not essential.
If you would like more information, please contact the risk team on 0203 141 8014 or e-mail risk.emea@gqrgm.com
VISIT US| www.g-q-r.com/vacancies
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.
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
LONDON | 0203.141.8000
Westminster Tower, London, SE1 7SP | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Markets
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