Market Risk Methodologies Quant (VP & AVP)

City of London
Ref: RMQ-1604
Excellent Salary & Bonus at this Top-tier Institution
Top-tier Investment Bank
Development of Capital Models for Market Risk

The Risk Methodology team at this top-tier investment bank is responsible for development of MR models such as, VaR, Stressed VaR, RNIV, Comprehensive Risk Measure & Econ Capital. This role covers requirements identification, model performance assessment and implementation into production, including documentation.

The successful candidate will take ownership of individual methodology development items from upfront analysis phase and model description to functional specifications and UAT.

KEY RESPONSIBILITIES:

  • Agree approach and get acceptance from the Market Risk Managers
  • Ensure industry best-practice within governance framework to satisfy the Regulators
  • Check feasibility of implementation approach with IT & Operations
    Estimate upfront VaR and capital impact for Front Office as well as ALCO expectations
  • Justify modelling choices, assumptions, data selection, model inputs, risk sensitivities, market data
  • Constructing market data time series when data is unavailable, including algorithms to cope with missing data
  • Quantify VaR impact from use of market data proxies, illiquid market data, RNIV, model limitations, etc.
  • Maintaining robust risk model control framework: developing best in class market risk methodologies
  • Seek independent model review/approval before releasing changes into Production

ESSENTIAL SKILLS:

  • Post grad degree in quant finance, maths, physics, engineering, etc.
  • Quant abilities in: Probability, Stats, Derivative Pricing Theory
  • Experience of large datasets & market data methodologies for asset classes
    Familiarity with databases, including SQL and SAS. Also Matlab
  • Good knowledge of financial products and financial markets
  • Good knowledge of risk management (VaR, backtesting, regulatory requirements)
  • Ability to take ownership of issues/modules and deliver to deadline

DESIRABLE ATTRIBUTES:

  • Highly analytical, self-motivated, with a structured approach
  • Programming in C, C++, Java, Java script, web services will be a plus
  • Excellent verbal and written communication skills in English
  • Willing to train junior colleagues