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VP Quant Developer Trading Risk

  • Job type: Permanent
  • Location: London
  • Salary: £90000 - £135000 per annum
  • Job reference: 321783/002_1539795781
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 17/10/2018

We are currently seeking an outstanding quantitative development candidate to join the QA group of a Tier 1 Investment Bank in London at the VP level. The role is in the global Quantitative Analytics (QA) function, working in the Market Risk (MR) team. QA MR is responsible for the research, development, and documentation of the regulatory capital models for market-risk RWAs. The team is part of the QA Trading Book Risk (TBR) group in the investment bank.

Core responsibilities includes

  • Develop and implement market risk models for regulatory market risk capital

  • Develop and implement market risk factor simulation engine

  • Develop and implement analytical pricers for new products/payoffs

  • Support existing portfolio value-at-risk and capital models, including pricing, simulation, and calibration, testing and benchmarking analyses

  • Design and implement tools for understanding and explaining model behaviour

Basic Qualifications

  • Phd/MS degree or equivalent in a quantitative field such as mathematics, physics, engineering, computer science, statistics or economics.

  • Strong quantitative skills in market risk, numerical algorithms and derivatives pricing.

  • Strong programming skills with implementation experience in large analytical library development.

  • Strong Python

Preferred Qualifications

  • Prior experiences as Risk analytics in Python

  • Strong written and verbal communication skills

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