VP Quantitative Risk (IMM) - Investment Bank - London

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