Senior Quant, Market Risk Analytics,

Recruiter
Scope AT
Location
London
Posted
19 Oct 2020
Closes
21 Oct 2020
Ref
1732364648
Category
Accounting
Contract Type
Permanent
Hours
Full Time
Senior Quant required, Market Risk Analytics, end to end Modelling, VaR, Expected Shortfall, XVA

Responsible for..
  • Lead the end to end model development cycle to transit from current IBOR risk factors to the new Risk-Free Rates (RFR) in the IMA VaR model.
  • Lead the setup and backfilling of historical data for the new RFR risk factors.
  • Lead the development of the relevant Risk not in VaR (RniV) models related to new RFR risk factors.

Must have..
  • A strong understanding of risk management and portfolio management models (VaR, Expected Shortfall, XVA) and recent experience in VaR model development and VaR data analysis.
  • Financial instruments across different asset classes (especially interest rates and credit).
  • knowledge of current CRR regulations and FRTB.
  • model life-cycle and model governance.
  • simulation methods and statistical model development.
  • data analysis using Python.
  • a proven record of market risk model development and of leading large-scale market risk projects.

Superb opportunity within strong growing and successful team. Remote working/City firm.

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