Description
Senior Quant SME - Market Risk London based - hybrid role £900-£960 6 month rolling contract, inside IR35 Source Technology are working with a global investment bank in their search for a Senior Quantitative Analyst within Market risk. Key responsibilities include: Develop/re-design market risk models (especially for Equity and FX products) for accurate measurement of IMA FRTB, etc. as per internal risk and regulatory requirements Understand both regulatory and business requirements and propose models that are fit-for-purpose Liaise with Risk Transformation and Financial Engineering teams- starting from defining the objectives to model development/testing, building the model in Python, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny Act as an SME (Subject Matter Expert) in pricing & risk computations for Equity and FX products and liaise with both Front Office Traders, Quants and Traded Risk Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change. Key skills we're looking for: Masters level in Math/Science/Engineering/IT discipline Clear and demonstrable familiarity with key market risk measures and regulations Good knowledge of derivative products, pricing and risk models (for Equity and FX in particular, but other asset classes would be a plus) Advanced programming skills in Python. Knowledge of C++, Matlab and / or R is a plus although not a prerequisite Experience with software build systems, version control (Git, GitHub) and issue trackers (JIRA). Experience in agile workflow is a plus Ability to write clear and understandable technical documents Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level May lead and guide more junior analysts This is a London based hybrid role paying up to £960 per day, interviews are taking place this week so apply now to avoid dissapointment.
Source ⇲
