- Working closely with the Market Risk, Counterparty Credit Risk, Product Control, Finance and Front Office teams to provide quantitative support and practical solutions
- Supporting changes to interest risk in the banking book, valuation adjustments, modelling of market risk factors and/or stress testing models
- Demonstrating an understanding of derivatives across asset classes (fixed income, inflation, FX, equity), from a theoretical perspective
- Responsible for the quantitative aspects of model development and its implementation
- Helping evolve the existing models into more user-friendly deployments using tools such as R-shiny or Python Dash
- Supporting the closure of internal validation recommendations in a timely manner and regular model monitoring
- Demonstrating strong quantitative skills applied in modelling and data analysis
- Theoretical understanding of valuation and pricing models of financial products, derivatives and risk management methodologies (VaR, risk capital, stress testing)
- Knowledge of statistical modelling of market data, or mathematical/econometric skills
- Demonstrable programming skills (Python, Dash, R, Shiny R, VBA or C++).
- Degree level education in a quantitative field (or equivalent experience)
- A postgraduate qualification/PhD would be advantageous
For more details, please send your CV to firstname.lastname@example.org
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.