Quant Sme - London, United Kingdom - Source Group International

Source Group International

Verified Company

London, United Kingdom

1 week ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Posted:

Today
Sector:
Financial Services
Location:
London, Greater London, South East, England
Job Ref:
BH Job Type:
Contract
Salary:

£900

£960 per day
Expiry date:
3/15/2023 Contact:

Yasmin Qureshi

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/redesign 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 fitforpurpose
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