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Trading Model Risk Quant - Associate / VP

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH782534
  • Oct 01, 2021
  • Competitive
Job Description

Global bank seeks a VP level Trading Model Risk Quant as part of their expanding Trading Model risk team which covers pricing, market risk and counterparty risk models.

Our client is looking for Trading Risk Quants for the Trading Risk Quant Team
in the Financial Risk Model Development department.

We are an energetic international team of highly qualified professionals.

Our area of expertise is Trading pricing models, market risk and
counterparty credit risk in the Trading book.

We are part of the Financial Risk Model Development department, which
comprises of a large team of modelling experts: Balance Sheet Risk,
Credit Risk and Market Risk in IRRBB and Trading Risk models, with
state of the art modelling methods, tooling and data-processing
technologies.

The position offers excellent opportunities to excel in what you do
and to broaden your modelling skills, as well as exposure to a dynamic
and agile international working environment.

What you'll do

· Design the methodologies for Market Risk internal models
deciding on the best quantitative methods and techniques with the
support of complex programming (e.g. risk factor evolution models for
Value at Risk, Incremental Risk Charge, Counterparty Credit Risk
simulation models; Market Risk Economic Capital and Stress Testing
models).

· Gain the experience and work with the pricing models across
the different FM pricing systems in the Interest Rate and Inflation
asset classes, focusing on the model risk AVA methodologies.

· Provide quantitative support to risk managers and traders,
such as tools to provide insight on model choices, analysis of the
methodologies used for P&L explainer or market data proxies.

Key skills
· A PhD or a MSc in a quantitative field, preferably (financial)
mathematics, econometrics or physics;

· 2-5 years of experience, with familiarity of derivatives
pricing, risk models and the most important developments (for e.g.
IBOR transition);

· Strong knowledge and experience with programming languages,
especially C++ and/or Python;

· Strong communication skills and fluency in English; and

· Constructive attitude and pro-active team player.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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Consultant Details

Consultant Details

Alex Riedl
Alex Riedl
  • Principal Consultant | Risk Management Recruitment
  • +44 (0)20 7092 0103
  • ariedl@morganmckinley.com