London
Permanent
Posted 1 month ago
ASAP
£100000 - £115000 per annum + Plus Bonus and Benefits
2024-03-15
We currently have an extremely interesting opportunity to join an excellent global setup, within their Quantitative Counterparty and Market Risk Modellig team.
They are a team of quantitative modellers, largely covering market, liquidity and Counterparty risk. Some of the areas of interest for this role could be on the Counterparty side, across various asset classes, including work on IMM models, working on EEPE, CVA, XVA, Remediation and Back Testing.
This position is ideally suited to someone autonomous, strong Mathematical skills and able to build models across Market and Counterparty Risk.
The role will involve:
Investigating, analysing and designing risk methods- to capture risks whilst taking into account systems and other variables
- Regulatory interaction, also working with Front Office and Risk Managers.
- Working on code design, development and testing changes to implement risk methods in the risk systems.
- Working with Quality Assurance for risk measurement covering backtesting for example.
- Being part of a strong international and global set up.
Skills required:
- Strong knowledge within Quantitative Counterparty Risk and / or Market Risk
- Stochastic process and derivative pricing knowledge, with the knowledge of the risk around them.
- Proven background and track record within Quantitative Modelling
- Backtesting methodology, but also collateral modelling and initial margin models are highly desirable
- C# or C++ and Python for designing and implementing models
- Strong communication skills, able to speak to various teams and stakeholders internally and externally
Please do get in touch to discuss the role further.
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