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VP Quantitative Risk (IMM) - Investment Bank - London

Job Title: VP Quantitative Risk (IMM) - Investment Bank - London
Contract Type: Permanent
Location: London, England
Industry:
Salary: £85000.00 - £100000.00 per annum
Reference: BBBH21871_1564067101
Contact Name: George Marks
Contact Email: george.marks@twentyrecruitment.com
Job Published: July 25, 2019 16:05

Job Description

Twenty Financial Services are currently searching for a Quantitative Risk VP for an Investment Bank based in London. The role will focus on Initial Margin Models and will be responsible for leading a newly created team within the Quant Risk division.

Responsibilities:

  • Calculations of initial margin and the performance of the models
  • Work with the development team to monitor the models are providing correct outputs
  • Lead on model updates and new product calculations
  • Reporting of the model performance for regulatory purposes and committees

Skills required:

  • Strong quantitative risk skills
  • Knowledge of derivatives pricing and traded products
  • Ideally from an initial margin or FRTB background
  • Would also consider those with market risk and counterparty credit quant backgrounds
  • Python/R/VBA