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Market & Counterparty Risk Modeller

  • Location London, England
  • Reference BBBH92344
  • Salary £50000 - £75000 per annum
  • Specialisation Risk
  • Posted September 23, 2019


An International Bank are looking for a candidate to join a newly created team to focus on the implementation of risk models across the bank.

Responsibilities:

  • Develop, implement, test and document risk measurement methodologies across all markets/asset classes and across market and counterparty risk models.
  • To support the implementation of a robust risk measurement and exposure capture framework for the purpose of effective risk management and regulatory capital calculation.
  • Support implementation of risk models in the modelling and analytics platform.
  • Work closely with Model Validation, Market Risk Analytics as well as other teams internally to collaborate effectively.

Skills required:

  • Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics, physics, or financial engineering.
  • Experience in coding in at least one language (preferably R, Python or C++)
  • Previous experience in SIMM, stress testing and FRTB