TWO Market Risk Quantitative Analysts, VaR, Economic Capital

TWO Market Risk Quantitative Analysts, VaR, Economic Risk Capital, Canary Wharf, 6 months
Tier One Investment Bank a Senior Market Risk Focused Quantitative Analyst with VaR Exposure and has worked within Economic Risk Capital to join their team in Canary Wharf on an initial 6 month contract. The team you will be joining is involved in developing methodology that is used by the whole bank

The successful candidate will have the opportunity to:
-Play a central role in the development of a 'best in class' Economic Capital model
-Understand how the Economic Capital model is used in a leading financial institution
-Lead model developers, autonomously steer the methodology development, supervise the production of adequate model documentation
-Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture
-Research alternative methodologies, and compare them; justify and test the chosen option
-Ensure that models are adequately documented for both internal and external (eg regulatory) purposes
-Collaborate with IT analysts and developers to implement changes to the model
-Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications

Requisites:
-Extensive experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR or Economic Capital experience is required
-Previous experience in leading methodology development projects and supervising quantitative analysts is necessary
-The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering.
-A higher degree in one of those areas or in finance or a professional qualification eg CFA, FRM, PRIMA would be an advantage
-General knowledge of risk issues and investment products, together with some programming skills would be also desirable
-Candidates are required to have programming experience, preferably using C#
-Experience in methodology documentation is highly valued
-Ability to work well in a team and building relationships
-Ability to produce high quality, accurate work, under pressure and to tight deadlines
-Willingness to question and challenge the status quo and ability to provide alternative approaches

If you wish to apply for the above position, please call me or email.

Please be advised if you haven't heard from us within 24 hours then unfortunately your application has not been successful on this occasion, we may however keep your details on file for any suitable future vacancies and contact you accordingly. Adecco is an employment consultancy and operates as an equal opportunities employer.

Hy-phen Limited is acting as an Employment Business in relation to this vacancy.

The Adecco Group UK & Ireland is an Equal Opportunities Employer.