Description
Market Risk, Quantitative, Analyst, Var, IRC, RNIV, Model, Traded Risk, Development, model development, model validation, Stakeholder, Python, C++,Visual Basics R, London.
My Client, is currently looking for a number of Quantitative Analysts to work within the model review team on the development, maintenance and validation of the Market Risk Models and Methodologies within the Global Traded Risk Portfolio. These changes are in compliance with the IBOR changes and therefore any experience with this area this area would be extremely valuable.
The successful candidate will be responsible for the validation of the market risk models and methodologies and will therefore need a deep understanding and hands on VaR experience. Although this role sits in model review, they will consider candidates form a development background. VaR validation or modelling experience is extremely important. They also have a position that will focus on the IBOR changes for IRC and will consider someone from a Counterparty Credit Risk background for this.
You will be coordinating the delivery on project developments, building prototypes to capture 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 VAR modelling or validation
- Market Risk Methodology background
- IRC and Counterparty credit risk experience
- Minimum Masters in Maths/Science/Engineering
- Good understanding of VBA/Visual Basics
- Quantitative/Statistical background
- IBOR/LIBOR/Rates experience
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