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Market Risk Model Development - Investment Bank - London

Job Title: Market Risk Model Development - Investment Bank - London
Contract Type: Permanent
Location: London, England
Industry: financial services
Salary: £55000 - £65000 per annum
REF: BBBH21606_1559807123
Contact Name: George Marks
Job Published: 19 days ago

Job Description

Twenty Financial Services are currently searching for a Market Risk Quantitative Analyst for a Global Investment bank located in London.

Your main responsibility will be to cover market risk model development across value at risk and incremental risk charge. The models cover various investment banking products such as FX, Fixed Income, Equities and Rates.

Responsibilities:

  • Develop risk models and also review these models to test for accuracy, data proficiency and numerical precision.
  • Update model specifications for FRTB
  • Improve the existing system controls.
  • Contribute towards projects within the quantitative risk function

Skills Required:

  • Previous experience working within model development or model validation
  • Working knowledge of traded products such as FX, Fixed Income, Equities and Rates.
  • Previous coverage of market risk or counterparty credit risk models
  • Advanced programming use with either VBA, R, Python or similar