Front Office IMM Quant (VP), London

London
Ref: IMM-2807
Total to £200k + Benefits + 30 days holidays
Global Investment Bank
IMM, XVA, VaR, CCR, C++, Prime Services

Our client, a large Global Investment Bank, seeks an experienced Quant (4-7 yrs) to join their front office quant team to develop & implement methodologies to measure and optimize initial margin across all markets/asset classes, with a focus on the Prime Services business, and implement IMM models into the front office analytic library.  Based in the City, you’ll work with highly talented Quants and gain deep exposure to the business.

KEY RESPONSIBILITIES:

  • Develop & implement methodologies to measure and optimize initial margin across all markets/asset classes
  • Support implementation of a risk measurement and exposure capture framework for regulatory capital calcs.
  • Implement risk models in the analytics library
  • Work with the business & risk managers on risk solutions and analytics
  • Key stakeholders are: the XVA Desk, Prime Services (mainly FX Options), Model Val, Traded Risk, IT team.

ESSENTIAL SKILLS & EXPERIENCE:

  • MSc or PhD educated in a numerical subject (ideally maths or physics)
  • Experience with Prime Services business, analytics and risk management processes
  • Knowledge of risk modelling, e.g. in: Initial margin models; market risk modelling; CCR; derivatives pricing, and XVA.
  • Experienced with, ideally, (modern) C++
  • Knowledge of functional programming a strong plus (e.g. F#, Scala)
  • Experience implementing models in a production-like setting and knowledge of common tools and techniques