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As a Quantitative Analyst you will be responsible for deploying advanced financial mathematics in the defining and implementation of quantitative models for market risk monitoring and measurement, which will include defining expected shortfall models for credit and/or repo products.
You should apply for this role if you are/have:
7+ years quantitative analysis experience within major investment banks/hedge funds
Deep understanding of advanced financial mathematical concepts
Strong market risk modelling knowledge including VaR models and historical simulation
Ideally an understanding of FRTB principles, in particular Expected Shortfall
Programming and modelling skills in C#
Fixed income product knowledge – ideally credit and/or repo products
MSc educated, ideally PhD educated in mathematical or economic subject
This is an initial six month role at £700-£900/day based London.