Quantitative Analyst- Market/Counterparty Risk Modelling, FRTB

Expiring today

- i-Gem Associates Limited
100000.00 - 120000.00 GBP Annual + bonus)
15 Oct 2016
22 Oct 2016
Contract Type
Full Time

A leading Investment Bank, based in the City, require a number of strong Quantitative Analysts, for their Risk Modelling team, to focus on upcoming FRTB work.

Job Summary & Responsibilities

The primary focus will be on the creation, maintenance, documentation and testing of algorithmic code, but the role requires a solid quantitative background and a strong interest in this aspect. The work scope comprises the full range of risk measurement methods in the team's remit, across asset classes and across counterparty risk and market risk perimeters. Examples include counterparty risk models, pricers and model calibrations, as well as market risk simulations and pricing methods.

The role requires a contribution to both methods and system requirements and design rather than just implementation of a detailed technical specification. In this respect, an active contribution to methods, system requirements and design discussions is expected; where relevant, complemented by challenging both implementation details and design decisions by tracing these back to the business requirements.

Our requirements
To be successful in this role, the candidate should meet the following requirements:
A strong academic background, with at minima a Masters in mathematics, physics or quantitative finance;
Design and implementation of quantitative models, using C#, JAVA or C++ (and object-oriented programming in general), in a source-controlled environment (eg SVN);
Proven experience in a quantitative finance environment, preferably in a market risk model development capacity - knowledge of asset simulation and stochastic models is a must;
Practical knowledge of derivatives, their risk drivers and pricing models;
Exposure to one of the following asset classes: credit, repo, IR/FX, equity, commodities;
Understanding of large production systems in some detail, both from algorithmic and performance perspectives;
Good grasp of the current regulatory framework (ideally FRTB) and its implications on banks' operations
constitutes a significant plus.
This role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role.
In addition, the candidate will have the ability to:
Work to meet tight deadlines;
Work flexibly as part of multiple teams and autonomously;
Grasp the intricacies of governance-related processes and procedures;
Juggle changing priorities and a varied workload.

What we offer
The successful candidate will have the opportunity to further develop his or her quantitative development skill set, join a multi-cultural team of seasoned quantitative analysts and developers eager to stay abreast of the latest market and industry developments (eg Fundamental Review of the Trading Book). As such he or she will also have the opportunity to contribute to shaping the bank's and the industry's future of internal models and risk management.