CVA Quant – Risk Methodology recruitment
The Department Risk Methodology are responsible for the development and specification of quantitative methodologies used to measure market risk, including Value at Risk (VaR) and Credit Value Adjustment (CVA).The RoleYour responsibilities will include:Understand the products traded and trading strategies used.Identify all sources of market risk in the context of CVA.Develop and specify the VaR model in the context of CVA.Understand and monitor the VaR model’s performance.Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.Collaborate Read more […]
Quantitative Analyst – Risk Methodology recruitment
Quantitative Analysis roleInternational BankAttractive remunerationOur client is a top tier investment bank. Due to growth, they are looking to recruit two quantitative analysts responsible for the VaR model methodology (General Market Risk, Specific Risk and Incremental Risk Charge). The position holder will participate in the definition, implementation and maintenance of effective controls around the VaR model. Key roles and responsibilities – Test new pricing models configuration before they are integrated in risk reports – Produce Quarterly VaR model performance report – Develop Read more […]