Quantitative Analyst - C#, FRTB, DRC, IRC, VAR, - London, United Kingdom,
My client a leading investment bank with a Global presence and well respected place within the UK financial services market, is currently recurring for a Quantitative Analyst to join them on a contract basis in London.
You'll be joining a large change programme with the principle requirement of the role is to ensure existing Credit VaR Models function under FRTB (e.g. in an Expected Shortfall context), identify and escalate possible rectification actions (such as data remediation) and carry out quantitative analysis of potential market risk model changes deemed essential under the new regulation.
- Strong C++ or C# background (over the last 5 years)
- Excellent Quantitative Analyst background
- Exposure to VAR (expected shortfall)
- Exposure to Shortfall
- Knowledge of Credit Risk (IRC, DRC)
- Knowledge of Market Risk