Description
Senior Derivatives Quantitative Analyst, Risk, Interest rates, market Risk, credit Risk, Quantitative Analyst, Derivatives, Risk, modelling, quantitative, data, change, regulatory, VaR, Derivatives, Risk, Quantitative Analyst, Market Risk, Credit Risk, Derivatives, Interest rates, Quantitative Analyst
A Major Bank is looking for a Senior Derivatives Quantitative Analyst to join their team for a 6 month renewable contract.
Duties:
Develop, enhance and maintain market risk models for all assets classes.
Value-at-Risk historical simulation model for normal and stressed periods using full or partial revaluation in the FO systems;
Jump to default and migration model
Modelling of risk from the correlation trading and securitised products;
Modelling for creating Proxy data time series where the exact time series is not available;
Investigate all risks that are not captured, devise alternative risk metrics and ensure that these are reported on a regular basis;
Conduct research on complex risk types (eg credit spread risk, commodities spread risk and longevity risk);
Provide market risk modelling expertise to risk managers on a day to day basis.
Challenge and review the risk system framework;
Contribute to market risk model discussions in the industry;
Participate in quantitative impact studies requested by the regulators.
Derivatives experience and Interest rate experience
Key Objectives:
Gain market risk model approvals by the appropriate regulator.
Model to pass internal validation and audit controls
Skills & Experience:
PhD in a quantitative discipline.
Top notch quantitative ability, with a pragmatic approach to problem solving
Proficient in programming (Matlab, VBA, C++, or equivalent)
Knowledge of risk methodology and financial products is desirable but not essential.
Experience in the financial services industry is desirable but not essential
Demonstrable ability and confidence to build relationships with the business at all levels.
Strong communication skills (verbal & written)
Please apply if you have the releveant experience.
Aston Carter Ltd is acting as an Employment Business in relation to this vacancy.