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This opportunity is based in London and sits in the quantitative modelling team, within the risk architecture. The main mission for the team is to develop and constantly improve the risk modelling and measurement of the group as well as analyzing and back testing capabilities.
The team is divided by asset classes (rates/FX, credit, equity/commodity) and is responsible for developing counterparty exposure and market risk models for delivery across risk management.
The role will involve:
Contribution to the methodological research and design in a given asset class
Design, develop and test code changes required to implement the risk methods in the risk system
Investigate, analyse and design risk methods
Work in close partnership with other risk teams and stakeholders
Effective documentation and communication of models for internal and regulatory purposes.
The key requirement for this role is a deep knowledge in risk management best practices as well as financial markets and economic developments.
The ideal candidate must possess a strong academic background, ideally educated to PhD level in mathematics or hard sciences, depending on the level of experience.
The professional experience must be in a quantitative finance environment, ideally in market risk or counterparty risk modelling capacity.
The candidate must have a deep knowledge at least in one of the following asset classes: credit, repo, IRFX, equity, commodities and preferably from a risk management perspective. Programing experience will be necessary, mainly in C# or C++.
Communication skills, both written and verbal are essential.