This top-tiered Investment bank is looking for an experienced and talented individual to join their award winning Risk team in London. To meet business demands Group and regulatory requirements, a large-scale project is being undertaken to redevelop the methodologies and systems surrounding the modelling, measurement and control of counterparty credit risk. Consequently, the Risk Methodology team is seeking to hire a quantitative analyst with prior experience. The candidate will be expected to eventually run a team of their own Quantitative Analysts, expected to grow rapidly within the first 18 months.
Responsibilities:
-Research and identify appropriate methodologies, successfully balancing the need for technical rigour with considerations of feasibility and ease of implementation.
-Close liaison will be required with the Risk Solutions and Control Group (prototyping of models, development of functional specification, testing of model implementation) and with Group Risk Analytics (model validation).
-Provide the methodological inputs associated with the development, testing and implementation of a sophisticated, robust and flexible counterparty credit risk measurement system.
Skills, education and experience:
-Prior experience in an investment banking environment (ideally counterparty credit risk, but front office, market risk or product control backgrounds may be acceptable) – in exceptional cases, candidates from a financial consulting environment may be considered.
-Understanding of regulatory environment (Basel II, BIPRU) desirable.
-PhD from a top-ranked university in a mathematical based subject (mathematics, physics, engineering).
-Knowledge of counterparty credit risk modelling and measurement methodologies.
-Knowledge of Monte-Carlo techniques, risk factor simulation modelling and derivatives pricing.
-Product knowledge in one or more asset classes (rates, FX, credit, equities, commodities, inflation).
-Programming ability (Excel/VBA, Matlab, C++/C#).
To apply please contact quantexotic@selbyjennings.com with CV in word format.
http://www.selbyjennings.com
+ 44 (0) 207 019 4137
Type: Full-time
Location: London
Category: Quantitative Analysis Jobs
Apply Email: quantexotic@selbyjennings.com
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