Description
Market Risk, Quantitative, Analyst, Var, IRC, RNIV, Model, Traded Risk, Development, Stakeholder, Matlab, London.
My Client, a top tier Investment Bank is currently looking for a Quantitative Analysts to work on the development and maintenance of the Market Risk Models and Methodologies within the Global Traded Risk Portfolio. These changes are in compliance with the FRTB requirements and therefore any experience with this area this area would be extremely valuable.
The successful candidate will be responsible for the development of the market risk models and methodologies and will therefore need a deep understanding and hands on experience in the development of VaR, RNIV and IRC. Development experience in at least one of these areas is a prerequisite for this position.
You will be coordinating the delivery on project developments, building prototypes to capture illiquid risk and generate overall improvements on the models. The role will also involve communication directly with the stakeholders to ensure the new risk models are understood and best practice is adhered to.
The candidate must also have:
- Very strong knowledge of IRC, VaR and RNIV
- Minimum Masters in Maths/Science/Engineering
- Good understanding of Matlab
- Quantitative/Statistical background
Allegis Group Limited and Aston Carter Limited operate Employment Businesses and Agencies and are companies within the Allegis Group Inc. group of companies, the fourth largest staffing company in the world, (collectively referred to as the "Allegis Group"). TEKsystems and Aerotek are divisions of Allegis Group Limited. Applicant data will be treated in accordance with the Allegis Group's Privacy Notice ). By submitting personal data to any company or division within the Allegis Group, the applicant is providing explicit consent to the use of such data by the Allegis Group and to the transfer of such data to and from the Allegis Group companies within the UK, Europe and outside the European Economic Area in connection with the fulfilment of the applicant's voluntary requests, and the fulfilment of other job opportunities that match the applicant's profile, and confirms that they may be contacted about such job opportunities.