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Senior Quant Analyst - Market Risk - London, United Kingdom,

£80-90k

Our client, a global analytics business, based in Canary Wharf, London, are currently hiring for a Senior Quant Analyst to

Responsibilities

  • Participate in various FRTB/market risk focussed quantitative risk and implementation engagements
  • Contribute to rules interpretation, methodology and implementation of FRTB methodology and rules related to sensitivities based approach, Default Risk Charge calculation, Internal Model approach and P&L attribution testing and back testing
  • Work in teams by sharing responsibilities, supporting junior members, assisting in preparing project and progress reports and actively communicating with clients
  • Develop and run tactical or functional prototypes to test the impact of final rules and devise the target state

Requirements

  • A minimum of 2 years experience in quantitative risk management in financial services, with a focus on market risk
  • Experience in quantitative modelling covering derivatives pricing models, market risk models, regulatory capital calculation models and counterparty credit risk
  • A good understanding of FRTB regulation
  • A strong academic background in Engineering, Science, Computation Finance, Statistics and Mathematics with professional certifications like CQF, FRM, PRM is preferred.
  • Proficient in use of techniques like Monte Carlo simulation, statistical tests and numerical techniques commonly used in quant finance
  • Experience in quantitative development in various software environments including VBA, Python, R, C++, SQL, MATLAB, etc.
  • Experience in regulatory projects is preferred - FRTB, BASEL II, CRD IV
  • PhD or Master's or Bachelor's degree in a quantitative subject, ideally with a strong curriculum in quantitative finance or similar

This is a full time permanent position working Monday-Friday, 9am-5.30pm.

Offices located in Canary Wharf, London. Occasional/Regular UK and International travel required.

Please apply online for consideration.