Counterparty Credit Risk Quantitative Modelling VP

  • £90,000 - £100,000 + Benefits
  • Londres, Angleterre, Royaume-Uni Londres Angleterre GB
  • CDI, Plein-temps
  • Gresham Hunt
  • 15 juil. 18 2018-07-15

Gresham Hunt are representing a leading Bank in their search for a VP within their Counterparty Credit Risk Quantitative Modelling team.

Gresham Hunt are representing a leading Bank in their search for a VP within their Counterparty Credit Risk Quantitative Modelling team.

 

The person:

 

  • Master’s degree or PhD (or equivalent) in mathematics or quantitative finance related degree.
  • Experience in market risk modelling, ideally with exposure to model review.
  • Deep understanding of the theoretical grounds of quantitative finance and of the corresponding mathematical frameworks.
  • Good understanding of market risk and the relevant regulatory environment.
  • Good programming skills (C++, Matlab, R).

 

The role:

 

  • Assessing the theoretical framework, implementation, and performance of market risk models (VaR, SVaR, RNIVs, IRC) used for managing the bank’s exposure to market risk and for calculating regulatory MR capital (RWA).
  • Providing independent analysis of the assumptions underlying the proposed models, their limitations, their relevance for the proposed uses, the quality of their implementation and of the input data, the adequacy of governance and compliance with regulations, and accompanying documentation.
  • Performing adequate testing and coordinating related testing performed by analysts. 
  • Maintaining strong relationships with model owners, developers and users.

 

Please contact mark.mcloughlin@greshamhunt.com for more information.