Quantitative Market Risk Manager Quantitative Market Risk Manager …

MThree Consulting
in London, England, United Kingdom
Permanent, Full time
Last application, 26 Sep 19
High
MThree Consulting
in London, England, United Kingdom
Permanent, Full time
Last application, 26 Sep 19
High
Long term project at a major Investment Bank is seeking an experienced Quantitative Market Risk Manager to work on ensuring preparation for the incoming IBOR Transition across Traded Risk and associated Regulatory response. The end solution will provide client solutions across risk adherence and will involve the inclusion of Front Office Trading, IT, Quants, Traded Risk and Product Control departments.

The successful candidate will drive through Advanced’ Risk model calculations via IMM Counterparty Risk CCR models and Market Risk VaR models across risk measures PFE, VaR, XVA, CCR RWA, CVA VAR RWA in order to comply with the FCA, and respond to any queries they have as a result.

Extensive experience is required across Quantitative Finance, Model Regulation and Traded Risk / Market Risk Management, having previously held a similar position in a Sell-Side environment providing detailed Risk Management expertise and Trading Desk liaison. Full detailed spec available.

Essential

  • Extensive experience as a Risk Manager for a Trading Desk
  • Market Risk Models and CCR
  • Fixed Income Product and Pricing Experience
  • Regulatory Reporting
  • Model Analysis
  • Quant Finance
  • Derivatives
  • VaR / RWA

Quantitative Market Risk Manager

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