C++ Market Risk Quant Modeller (London)

Location: London

Salary Range / Rate: 70000-75000£

Job Description

Job ID: 536 January 13, 2020 +44 02030267557

The role will require working closely with the model development team of a large global bank. This will include developing new models, enhancing/improving, maintaining existing models to support the bank’s business activities and regulatory mandates. The candidates are required to have sound knowledge and exposure to pricing models across different asset classes. This will include exposure to any of the following methodologies:- Derivatives Pricing models Market Risk/VaR models Counterparty Risk and CVA methodologies IMM and Risk-based margins Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modelling methodologies, model construction/testing, models implementation, integrating models into existing systems, model documentation and review.

Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc. Exposure to valuation/pricing models across asset classes with significant expertise in one of the following asset class - Equity, Rates, FX or Credit.
Exposure to various risk concepts including VaR, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
Sound knowledge of standard tools and platforms used in the industry
Ability to explain complicated concepts with ease to a wide range of audiences.
Comfortable programming in one or more of the following C++/C#, Java, Python, R etc.
Good communication skills, team-work and flexibility

Perm candidates only Budget is GBP 70-75K max Do not source from HSBC, previous experience is OK
Replacement Period 90 Days

Agency Name: Vserve Consultancy

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Location: London,UK

No of Vacancies: 4

Job Sector: IT, Software, Internet, Analytics

Job Type: permanent

Education: PhD – Mathematics / Physics / Engineering / Computational Finance or similar quantitative discipline or Masters in Financial Engineering (MFE) with relevant experience can also apply

Experience: 2 - 7

Salary Range / Rate: 70000-75000£

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