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Stress Testing & Economic Capital Quantitative Modeller

  • Job type: Permanent
  • Location: London
  • Salary: £75000 - £95000 per annum
  • Job reference: 321803/002_1532365014
  • Sector: Selby Jennings, Risk Management
  • Date posted: 23/07/2018

A top Tier Investment bank is looking for a Quantitative Risk Modeller to work within its Operational Risk & Economic Capital setup in London. The role will have a focus on models estimating and forecasting Operational Risk losses across a variety of risk types under stressed and normal conditions.

Key Responsibilities:

  • A key member of the model development setup. You will be adding valuable insights and offerings to model design, data analysis, statistical techniques and efficient coding

  • Provide for the strategic vision for operational risk stress testing and capital modelling

  • Accurate code documentation, coding and testing

  • In line with the internal and external standards, write and maintain model documentation

Qualifications:

  • A degree in a quantitative discipline, with a preference in a Mathematical or Statistical subject

  • Operational Risk and model development exposure

  • A coding ability in one or more of Python, Matlab, C/C++

  • Knowledge of economic capital and stress testing approaches

  • Knowledge of data analysis and statistical techniques, including regression and factor models is preferable

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