A leading tier one investment bank is currently looking for Market Risk Quantitative Analyst to join a well known and strong team within the industry.
Responsibilities
- Ensuring existing VaR Models are functioning under FRTB
- Carry out quantitative analysis of potential market risk model changes
- Carry out model assessments and implementation of models in the front office library
- Design, develop and test code changes required to implement the risk methods in the risk systems.
Ideal candidate
• Solid quantitative background in market risk or derivative pricing with Credit/repo products.
• Previous experience designing and implementation of quantitative models.
• Good knowledge of pricing models and knowledge of risk simulation methods.
• Strong programming skills in C# or C++
If you are interested in this role please apply below or contact me for more information.
