A top tier bank is looking for a Market Risk Quant Developer to join their team in London.
This is a role responsible for development and analysis of models for market risk measurement in the fixed income (FI) space.
Responsibilities and experience required;
- to develop code / prototypes in Python FI market risk models (IRC) using specifications provided by quants / modelers
- to perform quantitative analyses for optimization of IRC
- to develop code for interfaces to internal data systems used for IRC
- to take part in development of FI market risk models methodology including work on FRTB-related models and model changes
- Former experience in IR and Credit modelling on pricing or risk side will be preferred
- Advanced Python programming skills
- Good knowledge of Interest Rate and Credit products, pricing and risk models
Eames Consulting is acting as an Employment Business in relation to this vacancy.