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    Market Risk Models Quant - London, United Kingdom - Millar Associates

    Millar Associates
    Millar Associates London, United Kingdom

    1 week ago

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    Description

    Market Risk Models Quant, (VP, Snr VP), London

    London Ref: MRQ-1007 Up to £250k Total Comp Leading Global Investment Bank Front Office Group, Flow Rates, Curves & Vol modelling, Swaptions Pricing, VaR, etc., C# or C++

    This global investment bank, seeks to hire a VP level Quant Analyst to focus on optimisation of their Front Office VAR models and work closely with (as part of) the Front Office Quant group to provide modelling support for Interest Rate Vol & Curves modelling and associated VaR & Market Risk. models. This is an excellent leadership opportunity to work on cutting edge models in a highly quantitative global environment.

    KEY SKILLS & EXPERIENCE:

  • Provide modelling support for IR Vol, Curves, Swaptions and VAR methodologies
  • Improve the client Risk tools and be involved in next generation of tools
  • Development of alternative models/methodologies for model risk.
  • Improvement of Risk systems and tools (C#) and the Risk engine code base
  • Day to day support of stakeholders in all model related questions including the Trading Desks & Risk Management & other Quants

    • KEY SKILLS & EXPERIENCE:

  • Masters (ideally PhD) educated in a quantitative field (Physics, Maths, Engineering)
  • Sound judgement in assessing the strength and weaknesses of modelling approaches.
  • Strong knowledge of Interest Rate models, Curves, CMS, (FX Options useful as well)
  • Good knowledge of stochastic calculus and IR modelling is an absolute must
  • Experience gained in either a Model Validation, Quantitative Risk or Front Office will be of interest
  • Experience implementing derivative valuation models in C++ or C#
  • Strong communication skills (English) both written & verbal
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