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VP Quantitative Risk Modeller

  • Job type: Permanent
  • Location: London
  • Salary: £100000 - £135000 per annum
  • Job reference: GESH 24032017
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 18/09/2017
Quant Risk - VP - Enterprise Risk - Global Investment Bank

The role will report directly into the UK Head of Risk Analytics of the bank and will give successful candidates a great chance to expand their modelling skill set across a wide range of financial models. The group will also cover both the wholesale and corporate markets across a number of key counterparts.

The role sits within the Financial and Statistical modelling team within the Enterprise Risk Group, providing analytical support in the development, deployment and validation of quantitative risk measurement and methodologies across Operational risk, market risk and economic capital.

The roles responsibilities will include:
  • Developing, documenting, and maintaining the following models: operational risk economic and regulatory capital model; market risk economic capital model; and business risk economic capital model
  • Using value-at-risk (VaR) and stress testing methodologies to quantify potential losses in different risk areas
  • Performing back-testing, sensitivity testing, and stress testing of risk models
  • Presenting the results of the risk assessment both to senior management and financial regulators

Ideal Candidates will have:
  • PhD (Finance, Economics, Statistics, Operations Research preferred) or advanced degree the previous subjects
  • 4+ years experience within a related field
  • Excellent statistical modelling language skills (Matlab, SAS, Stata, R or S+)
  • Knowledge of Operational Risk (AMA LDA is a bonus)
  • Strong knowledge of Basel regulations
  • Excellent written and verbal communication skills
 


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