Quantitative Research, Market Risk Methodology – VP

Job Type:
Permanent
Job Sector:
IT
Region:
London
Location:
London
Salary Description:
Competitive
Posted:
09/07/2018
Recruiter:
Anson McCade
Job Ref:
AMC*BCG*QR*VP

Quantitative Research, Market Risk Methodology – VP London BasedJob DescriptionThe Market Risk Quantitative Research team (MRQR) is responsible for development of Value-at-Risk models used for risk management and capitalization of the trading businesses. MRQR works closely with Market Risk Coverage, Market Risk Technology and Model Review teams. MRQR is part of the broader Quantitative Research group (QR) and collaborates extensively with asset-aligned QR teams (i.e. “desk quants”) as well as with Middle Office, Risk Reporting, the Front Office, and Controllers, to develop a VaR platform that captures risk fully within a robust control environment.Responsibilities:Serve on the MRQR Central Methodology Team whose purpose is to ensure the quality and consistency of VaR models and documentation across the group. The Central Methodology Team’s responsibilities include:Establish the standards for documentation of methodologies and for the evidence that supports them e.g. product-level VaR methodologies.Partner with and provide support to the MRQR Product Specialists and the Infrastructure & Model Delivery Team in the design and implementation of new or improved risk methodologies.Integrate analytical efforts across products, businesses and regulatory regimes.Gain a broad and detailed understanding of the risk methodologies used for all asset classes across the firm.Perform analyses to demonstrate the validity, limitations and appropriateness of risk methodologies.Proactively identify model shortcomings, limitations or inconsistencies and devise remediating strategies.Develop and maintain good and efficient working relationships with other groups, Front and Middle Office, Research, Compliance, Model Review, etc.Work with Business, Risk and Technology partners to develop a flexible, configurable and accessible risk management platform incorporating industry best practicesQualificationsSkills & Qualifications:An advanced degree in a quantitative subject such as physics, mathematics, engineering, mathematical finance or similar.Prior experience (including internship) in risk management and modelling at a major financial institution desirable.Practical experience in the details of pricing methods for a broad range of complex financial instruments.Familiarity with Value-at-Risk methodologies and related regulation (e.g. CRR/FRTB) beneficial.Excellent technical communication skills.  Ability to clearly, completely and correctly document the analytic details of methods used in the firm’s risk calculations.Ability to code realistic prototype calculations for analysis and exposition purposes, with C++ and Python coding experience desirable.Self motivated with an ability to independently identify methodological or functional shortcomings and seek practical solutions.Knowledge of Machine Learning/Data Science theory, techniques and tools would be beneficial. To apply for this role, send CVs to bradley.caton-garrett@ansonmccade.com

Contact Details:
Anson McCade
Tel: 02077806700
Contact: Bradley Caton-Garrett
Email:

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