Location: London, United Kingdom
Job Type: Permanent, Full time
The role is primarily focused on providing the quantitative analysis, development and specification for all risk management requirements for new products / services that are being introduced to the business, as well as monitoring the performance and developing improvements to existing models.
This includes the development and maintenance of risk management models and tactical applications, quantitative analysis and financial modelling, new product research and development, and other quantitative tasks as required on an ad-hoc or project basis. The role will involve close liaison with the wider Risk management team and Risk Change team, and other internal/external groups, on a regular basis.
- Design, development and maintenance of risk management models and applications.
- Development and testing of pricing models and curves.
- Development and maintenance of in-house risk analytics library
- Model validation of OTC Clearing Platform (Murex) native risk analytics and pricing models
- Provision of quantitative expertise in relation to internal/external projects or on an ad-hoc basis.
- Ensure that quantitative risk management techniques are kept in line with best practice.
- Research and development in relation to proposed new products.
- Review and assessment of existing and proposed margining methodologies.
- Timely and accurate analysis of quantitative risk issues.
- Contribute to improvements in existing risk management techniques and processes through the application of advanced quantitative methods.
Required Skills & Qualifications:
- Highly numerate with a degree in mathematics, quantitative area, economics or science-related disciplines.
- Hands-on experience in developing quantitative models (not necessarily financial models), building pricing models (Like to have), and/or quantitative analytics.
- Knowledge of interest rate products, including experience in pricing, risk management and analysis.
- Advanced programming competency in Python or C++
To apply please email your CV to the following consultant:
020 3763 3903