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My client has been generating risks for a while. As this team is looking for an Equity derivatives strat that looks at the floor wide risk all day; and looks to build new metric to automate risk management.
Has been a strat working in Equity derivatives
Has been a trader or risk manager in Equity derivatives
Someone who monitors risks and creates new metrics.
Also looks at the PNL and can explain whether the risks are meaningful.
Somebody who understands the statistical significance of a signal.
You will be asked to have views on which risk is more relevant at any given time.
You will need generic quant skills (i.e. Mixture of a modeller and coding this is a well rounded profile).
Needs to be able to go in the library and debug a risk, or fix things.
Know how to debug a library and understand why some risks are wrong.
This role is not looking for a typical quant, instead this role is looking for a candidate who is watching the risks most of the time.
Earned a PhD or Master's degree in math, statistics, physics, financial engineering, computer science or other quantitative fields.
Knowledge of European ABS market or familiarity with Interest Rate instruments such as Swaps and Swaptions.
Strong software design and development skills using C++, Python or Java.
Experience with big data, time series and statistical analysis.