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Quantitative Risk Analyst (D)

Location: Londres, Angleterre, Royaume-Uni

Salary: Excellent

Unique opportunity at a leading European bank within their Credit Valuations Models team based in London.

The Role

  • Responsible for the independent review of models for Credit Derivatives, Hybrids and ABS used across several arms of the Business, namely the IB, wealth and asset management divisions.
  • To examine and suggest improvements to model suitability, performance, calibration, accuracy, speed and risk sensitivities
  • Using C++ to develop benchmark models
  • Working closely with front office quants, the trading desks and other risk control teams


The Team

The Credit Valuations Models team focuses on valuation models for Credit derivatives, ABS and hybrids. In addition the team is responsible for all aspects of model validation, any model related issues in both trade pre approvals and reserves, assessing the impact of models on valuation as well as market and credit risk.

Working with other teams to provide bank wide risk analysis for senior stakeholders through developing methodologies for aggregating market and credit risks.


Essential Skills and Experience

  • A MSc or PHD in a quantitative field
  • A strong quantitative background in investment banks, for example model validation or front office roles
  • Proficient with the use of C++  and experience of implementing intricate derivative models in Monte Carlo and or PDE experience
  • Strong written and verbal communication and the ability to articulate complex models to a variety of audiences
  • Someone who is a natural team player and thrives in a collaborative environment


If you would like to be considered for this role, please submit your CV