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My client, a top tier investment bank is looking for a Market Risk Quantitative Analyst to join their team.
Development and enhancement of market risk models (VaR, Stressed VaR, IRC, CRM and RNIV) to ensure ongoing appropriateness.
Involvement in key deliverables, both for internal and external requirements.
Regulatory related analysis on Market Risk Models: VaR, Stressed VaR, IRC, CRM and RNIV.
Input into the Model Validation process.
Ongoing monitoring and evaluation of market risk models including backtesting, RNIV framework etc.
Involvement in analysis and interpretation of key regulatory requirements.
An excellent academic background, including an advanced degree in a quantitative discipline, such as economics, finance, statistics/mathematics, sciences or engineering.
Up-to-date working knowledge of regulatory requirements and change, specifically those emanating from Basel and European regulatory authorities including PRA.
Demonstrable experience in delivering enhancements to risk models.
Good knowledge of financial products is essential, including an understanding of risk representations (including greeks) and a solid understanding of risk management concepts such as VaR and Stressed VaR.
Please send your CV to email@example.com