My client, a top tier investment bank is looking for a market risk quantitative analyst to join their team.
Job responsibilities:
- Development and enhancement of market risk models (VaR, Stressed VaR, IRC, CRM and RNIV) to ensure ongoing appropriateness.
- Involvement in key deliverables, both for internal and external requirements.
- Regulatory related analysis on market risk models: VaR, Stressed VaR, IRC, CRM and RNIV.
- Input into the model validation process.
- Ongoing monitoring and evaluation of market risk models including backtesting, RNIV framework etc.
- Involvement in analysis and interpretation of key regulatory requirements.
Requirements:
- An excellent academic background, including an advanced degree in a quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering.
- Up-to-date working knowledge of regulatory requirements and change, specifically those emanating from Basel and European regulatory authorities including PRA.
- Demonstrable experience in delivering enhancements to risk models.
- Good knowledge of financial products is essential, including an understanding of risk representations (including greeks) and a solid understanding of risk management concepts such as VaR and Stressed VaR.
Please send your CV to stuart.beekmeyer@eamesconsulting.com
