Senior Quantitative Market Risk Associate

Responsibilities:

• VaR model enhancement, support and development
• Defining and implementing all methodological improvements for portfolio market risk metrics with main focus on Repo and Equity products.
• FRTB model development focusing on internal model and PnL attribution test
• Prototyping of ES model and documenting of FRTB related analytics requirements for IT/Strats.
• Participation in cross industry FRTB forums (ISDA,GFMA)
• Responsible for coordinating model development between Strats and risk analytics team.
• Interacting with Quantitative Analytics, Risk Methodology along with FO IT in order to understand and implement changes required.

Skills Required:

• Educated to at least the level of an MSc in a quantitative scientific subject including statistics and a research element
• Strong understanding of market risk and traded products
• Good understanding of VaR and FRTB
• Must have experience with simulation methods
• Strong computing skills (programming skills desirable)
• Development experience in Python would be an advantage