Market Risk/Credit Risk Quantitative Analyst (Visa available)
My client, a reputable consultancy firm is looking for Market Risk/Credit Risk Quantitative Analyst to join their Quantitative Advisory team based in London.
Market Risk Quant Team Responsibilities:
- Participate in and lead in Quantitative Risk engagements with a Market Risk focus and FRTB projects
- Work effectively as a team member sharing responsibility, providing support, maintaining communication, and updating senior team members on progress
- Assist in preparing reports and project plans that will be delivered to clients and other parties
- Develop and maintain productive working relationships with client personnel
- Build strong internal relationships within Advisory and across other services
Credit Risk Quant Team Responsibilities:
- Opportunity to work with many of the world's leading banks
- Providing comprehensive advisory to industry wide challenges, including IFRS 9, Stress Testing, FRTB, and derivative valuation and xVA
- Contribute to external client engagements and internal projects.
- Actively establishing, maintaining and strengthening internal and external relationships.
Market Risk Quant Team Requirement:
- Minimum 2-3 years relevant market risk quantitative analyst and VaR model development experience
- Relevant experience in Financial Services, either as part of an institution; in an advisory or business consulting capacity to such organisations or in the regulation of such institutions
- Strong academic background including a Bachelor's degree (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) or equivalent
- Good understanding of Derivative Pricing, Market and CVA methodologies used for the trading, risk management and ideally experience in FRTB and CRDIV or calculation of regulatory capital requirements
- Modelling background, including experience in model development and model validation of Derivative Pricing, Market Risk and CVA models and experience of standard techniques used
- Experience in any of the following software development environments: VBA /Java /C++ / SQL/R/Matlab/.NET
- Confident and credible communicator with good technical knowledge and commercial understanding
- Project management and strong report writing skills
- Experience in stakeholder and client management
Credit Risk Quant Team Requirement:
- Experience in Financial Services, either as part of an institution; in an advisory or business consulting capacity to such organisations or in the regulation of such institutions.
- Strong academic background including at least a Bachelor's degree (Computational Finance, Mathematics, Engineering, Statistics, or Physics preferred) or equivalent.
- Knowledge of Probability of Default (PD) / Loss Given Default (LGD) / Exposure at Default (EAD) / Internal Ratings Based (IRB) / Stress Testing
- Knowledge of Credit Risk & Financial Services Regulation - such as IFRS9
- Experience in any of the following software development environments: VBA / Java / C++/ SQL / R / Matlab / .NET / SAS
- Professional Qualification e.g. CQF / CFA / FRM / PRM is a plus
Please send your CV to firstname.lastname@example.org
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.