Investment Risk Head of Modelling

  • £70,000 - £90,000
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • MERJE Ltd
  • 20 Apr 18 2018-04-20

My client is a top Asset Manager based in London. They are searching for a Head of Modelling to report into the Global Head Global Head of Investment Risk. The role consists of evaluating, recommending changes and documenting all such models, and assisting in putting in controls for ongoing validation of model outputs. The individual will be an active participant in risk technology projects, derivative pricing projects, and will be a regular member of the OTC Pricing Committee. The individual will report directly to the Global Head of Investment Risk.

In fulfilling these tasks, the individual will have both an in depth understanding of a wide range of asset classes and risk modelling techniques, together with the ability to converse clearly in such matters. 

Types of knowledge required

In-depth knowledge of best practise pricing models for:

  • Interest Rate derivatives
  • Inflation Derivatives
  • Options (Credit, Equity, Interest Rate & FX)
  • Bonds, including callable bonds
  • Structured Credit & CDS
  • Interest Rate and Credit curve construction & bootstrapping techniques
  • Value at Risk techniques
  • Equity Factor Modelling 
  • Performance Attribution (multi-asset)

Types of skills

  • Working knowledge of MSCI Barra & Risk Manager
  • C#, Python and SQL programming
  • Stochastic calculus and option pricing
  • Finite difference and Monte Carlo pricing methods
  • Relational databases and queries 
  • Bloomberg API, Excel, VBA
  • Highly numerate degree, Ph.D preferable