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Senior Quant Risk Associate
Eingestellt von McGregor Boyall
Gesuchte Skills: Vba, Sql
Projektbeschreibung
Industry leading London based Clearing House and FCA-supervised derivatives exchange is looking for a Quantitative Analyst who will be working in a team that develops Risk/Pricing Models which evaluates counterparty exposures to the Clearing House. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage).
Responsibilities:
- Enhance existing risk models as well as designs/prototypes new models across different asset classes like OTC and Futures.
- Perform back testing and statistical analysis to ensure the adequacy of margin coverage and justify other model assumptions.
- Conduct empirical studies and make recommendations on margin levels, modelling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field.
- Significant interaction with the Technology Department to implement, test and maintain the risk models.
Requirements:
- MBA/MS or PhD in Finance, Economics, or a quantitative field and strong quantitative, analytical and problem solving skills.
- Comprehensive academic and working knowledge of IRS, FX, and CDS or Commodities/Futures asset classes.
- Strong knowledge of pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns, distribution, volatility, correlations )
- Practical experience in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models.
- Experience with some programming languages such as C++/C#, R, VBA and SQL is also required.McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.
Projektdetails
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Einsatzort:
City, Vereinigtes Königreich
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Projektbeginn:
asap
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Projektdauer:
6months +
- Vertragsart:
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Berufserfahrung:
Keine Angabe
Geforderte Qualifikationen
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Kategorie:
IT Entwicklung