Quantitative Risk Analyst

Recruiter
Huxley Banking & Financial Services
Location
London
Salary
Competitive
Posted
07 Mar 2021
Closes
11 Mar 2021
Sectors
Accountancy
Contract Type
Contract
Hours
Full Time

Multiple headcount - Quant Analyst - Model Risk and Validation

A financial client I am working closely with are urgently seeking for a Model Risk Quant to work remotely

Market Risk models - VAR, IMA.

Market Risk models - IRC.

The role encompasses the technical validation and review of market risk models (including VaR, IRC, pension, ALM and PFE), credit risk portfolio models and other models such as PD models (on an ad-hoc basis). The business is looking for a seasoned quant analyst with experience in model build and model validation within a bank. The particular focus is around VAR/IMA and IRC. The candidate will be responsible for capturing key risks, analysis of historical data, multi-curve analysis and will have worked as either a Front Office or market risk quant previously.

Requirements:

  • Experience of building and validating market risk models
  • Strong experience of either VAR/IMA and/or IRC is essential
  • Knowledge of curve construction, market data, swaptions, cap flows, SOFRA new products.
  • Ability to understand historical market risk data.
  • Strong documentation skills are important due to the regulator requirements on reporting.
  • Candidates would be expected to hold at least an MSc in a numerate discipline.
  • Strong VBA is essential, C++ or R would be an added benefit. The majority of technical work is completed in VBA, no library integration.
  • Strong statistical analysis
  • Product knowledge or Rates or Credit.

Interviews are being arranged this week so please send your CVS ASAP to be considered. -

Please note that the documents provided contain generic information. If we are successful in finding you an assignment, you will receive a Key Information Document which will be specific to the vendor set-up you have chosen and your placement.

To find out more about Huxley, please visit our website.

Huxley, a trading division of SThree Partnership LLP is acting as an Employment Business in relation to this vacancy

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