Description
Quantitative Developer - Market Risk - VAR - RNIV - FRTB (Fundamental Trade Book Review).
Canary Wharf - 6 months
The main responsibilities of this role are the development and specification of market risk methodology for traded credit risk. The projects worked on are likely to include bond spreads, distressed credit and the credit treatment of developed sovereigns.
RESPONSIBILITIES
* Understand the products traded and trading strategies used.
* Identify all sources of market risk.
* Develop and specify the internal market risk models.
* Understand risk models (VaR & RNIV) currently in use and proposed changes under FRTB regulations
* Development and implementation of risk methodologies to be used for market risk measurement under FRTB
* Define and specify implementation of stress scenarios for non-modellable risk factors.
* Define and specify implementation for standard rules capital calculation (sensitivity based approach) at group and trading desk levels.
* Evaluate the impact of the new models and capital rules
*Ensure that any significant tail-risk is highlighted to the Scenarios team.
* Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.
* Collaborate closely with the data team to ensure that the historical data used in calculations are appropriate.
* Collaborate closely with the change teams, to ensure that any changes to methodology are appropriately project-managed for implementation.
* Ensure that all risk models are adequately documented for both internal and external (eg regulatory) purposes.
Qualifications:
* The candidate should have a first degree in mathematics, theoretical physics, econometrics, statistics or engineering, followed by a Ph.D/MSc. in one of those areas or in finance.
* The role would suit a candidate with experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance.
* It is essential that the candidate has a very good understanding of financial mathematics, and in particular an understanding of derivative instruments and the risks they generate.
* Understanding of risk models (VaR & RNIV) currently in use and proposed changes under FRTB regulations
* He or she also needs to understand the effects, and relative importance, of underlying risk factors upon the value of the instruments.
* In addition a background in statistics, time series analysis and probability theory would be of particular interest. Problem solving skills, as well as computational and communication skills, are essential.
Hy-phen Limited is acting as an Employment Business in relation to this vacancy.
The Adecco Group UK & Ireland is an Equal Opportunities Employer.