Senior Quantitative Risk Analyst – Modelling and Counterparty

Skills / Experience Required:

• Strong knowledge of risk management best practice
• Investigate, analyse, design and implement risk methods
• Design and implementation of risk models
• Review and approval of risk models
• Quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process
• Understanding of financial instruments and derivatives (their risk drivers and the models used to price them)
• Market risk and counterparty risk
• 7-13 years of experience
• Speak to senior stakeholders
• Understanding of all areas of different asset classes
• Pricing models
• Margin models, pricing models, credit rating models, stress test scenarios, liquidity risk framework, and collateral haircuts in line with internal policies and model validation procedure
• Design and implement the calibration and backtesting methodologies and support the Risk Systems teams responsible for the corresponding production processes
• Quantitative skills
• Programming – C# or C++
• Value at risk models implementation

Location: London

Salary: € Competitive + Bonus

REFER A FRIEND

If you're interested in this opportunity, forward you're CV ASAP. Alternatively, if you would like to know more information or have a confidential discussion please contact Shanaz Rob - call on +44 (0)203 603 4474 or info@srinvestmentpartners.com for more details

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