Model Validation Quant – Counterparty Credit Risk / Market Risk
- Job Type:
- London, United Kingdom
- £80k - £120k + Bonus
- 020 7871 4482
Associate/VP level Quant Analyst t to join the Model Risk Group with focus on Counterparty Credit Risk and Market Risk models.
Strong C++ and financial maths required, and a focus on the practical delivery of working products to the business in a timely manner.
Model validation includes an evaluation of conceptual soundness; designing and conducting experiments to compare a model’s prediction against actual outcomes or against the output of alternative benchmark models; and designing and monitoring model performance metrics.
- Good understanding of counterparty risk space and models used to compute CCR/Market Risk.
- Deep understanding of risk models and their limitations, valuation under the risk-neutral as well as physical measures, hedging and risk management
- Strong financial mathematics skills.
- Strong C++ and programming experience
- Strong interpersonal and communication skills (verbal and written).
- Ability to work in a fast-paced environment.
- Expanding modelling capabilities and implementation into the library
- Maintaining and improving code base
- Interacting with trading desk
- IT and risk management.
- Working independently to complete projects.
- MSc or PhD in a mathematical/Quant Finance subject.
- Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Our Client is a Tier 1 Investment bank