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
