Markets Quantitative Analyst
Salary £500 - £750 per day
Consultant Chris Dallas
Date posted 16 November 2016
A Global Investment Bank based in London is looking to hire a Quantitative Analyst to join the Model Review and Validation risk management team. The purpose of the role is to independently review risk and pricing models, actively participate in the on-going model validation and governance of these models, and lastly provide the quantitative risk analytical support to strategic projects focused on delivering RWA capital savings across the current model inventory utilised by the Bank.
Responsibilities of the Quantitative Analyst: Model Review Team
- Model review of both Market and Counterparty Credit Risk Models across the Investment Bank.
- Review and improve existing model framework
- Challenge any breaches or weaknesses in the methodologies where necessary and update model inventory
- Coverage on regulatory requirements on the PRA and Basel III, IRC and CRDIV methodologies.
Requirements for the Quantitative Analyst role:
- PHD/MSc in a numerate subject.
- IT skills including c++, R, Matlab, Quick, and SQL
- Firm understanding of both Market Risk and Counterparty risk models
- Prior Model Validation experience for Market Risk and Counterparty risk models
- Prior Black Scholes and pricing models knowledge
- Strong interpersonal skills, with the ability to communicate theoretical requirements to relevant stakeholders
This role offers fantastic opportunity to support a leading Investment Bank in London, supporting strategic delivery of capital saving initiative across risk models, with the ability to be involved in a crucial project that will most likely be extended past the initial 6 month contract and offer excellent daily rates.
If you are interested in the Quantitative Analyst role, click below to apply early with covering letter highlighting current model validation experience and delivery.