Manager - Market Risk (Quant)
On-siteLondon, England, United Kingdom
Job Summary
Lead regulatory and risk modelling projects covering derivative pricing, market risk, and CVA. Conduct model validation and testing for equity, rates, FX, and commodities asset classes, collaborating with Front Office quants to establish testing plans. Build and validate Value-at-Risk, stressed VAR, and IRC models while executing FRTB and IBOR modelling initiatives. Apply statistical and numerical techniques to justify risk methodologies and regulatory capital requirements using Python, Java, C++, SQL, or R. Requires a PhD or Masters in Computational Finance, Mathematics, or Statistics, plus professional qualifications such as CFA or FRM. Hybrid working in London.
Required Qualifications
- Strong quantitative academic background (such as Computational Finance, Mathematics, Engineering, Statistics, or Physics)
- PhD or Masters
- Professional Qualification e.g. CQF / CFA/ FRM / PRM
- Modelling background, including experience in model development and model validation of derivative products pricing, market risk and CVA models
- Significant experience in the application and justification of statistical and numerical techniques and principles of the theory of probability
- Strong experience in any of the following software development environments: Python/Java /C++ / SQL/R/.NET
- Good understanding of Derivative Pricing, Market and CVA methodologies used for the trading, risk management and ideally calculation of regulatory capital requirements
- Experience in FRTB or IBOR transition
Desired Qualifications
- Creative approach to work
- Effective communication skills
- Strong quantitative academic and technical background
- Model validation and testing of derivative pricing models covering equity, rates, FX, commodities asset classes
- Working with Front Office quants to create testing plan
- Model build and validation of VAR, stressed VAR and IRC
- FRTB and IBOR modelling
- Confident and credible communicator with good technical knowledge and commercial understanding
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