Description
Market Risk - Quant Developer - Front Office - BCBC352 - Contract - London
£700/day
The role's purpose is to develop the firm's market risk and capital metrics, especially new metrics required by the Fundamental review of the trading book FRTB (BCBC 352). The role is to facilitate strategic decision making by providing quantitative analysis and prototype development of new models.
Responsibilities
Develop portfolio risk models for market risk measurement and market risk capital requirements, working collaboratively with the rest of MRA
Develop/test different methods of computing regulatory risk metrics, in particular Expected Shortfall, Sensitivity-based Standard Rules and Default Risk Charge
Take ownership of development tasks, participate in regular design and code review meetings
Be delivery focused, have a passion for technology and will enjoy offering new ideas and approaches.
Understand business needs and partake in the configuration of new market risk tools
Requirements/Skills
Proven experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (eg Front Office quantitative research, model validation) may be considered;
A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
Exposure to at least one of the following asset classes: FX, Interest Rate, credit, equity, commodities, preferably from a risk management perspective;
A good understanding and awareness of the regulatory framework for banks is desirable
Development experience in Haskell is preferred. However, we will accept Python or C# as an alternative as long as the candidate is willingness to learn Haskell
Strong quantitative academic background preferred
Strong academic record and a degree with a high mathematical and computing content eg computer science, mathematics, engineering or physics.
Ability to work on a variety of work streams/projects
Desire to be part of this regulatory changing project
Good team player
Able to communicate well with Risk and Front Office