Description
A rare opportunity in the Global Quantitative Analytics group (QA) has become available at a top investment bank . The successful candidate will be responsible for the research, development and implementation of quantitative models across all asset classes (Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets and Counterparty Risk Trading). The group works closely with each business area to understand their requirements and propose solutions to their pricing and risk issues. This group is part of the Front Office.Main function
Assist the development and maintenance of VaR-type models including: DVaR, Stressed VaR, CVaR and UVaR, adhering to industry standards and best practices as directed.
The job involves working with other QA groups, market risk managers, credit risk officers, market risk projects and IT groups.
Main duties and responsibilities
Assist with the development and implementation within the QA Library of new state-of-the art models, applications, and VaR methodologies. The area of activities include: theoretical modelling, empirical-testing, historical back-testing, statistical analysis of relevant market data, numerical implementations of analytical modules, model and methodology documentation, etc.
Assist with the maintenance of existing risk applications and models.
Assist with the identification and analyses of market risk factors and propose quantitative solutions to measure them.