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Market Risk Quant

  • Location: London
  • Sector: Risk
  • Salary: £60000 - £85000 per annum + bonus and benefits
  • Job type: Permanent
  • Date posted: 09/10/2017
  • Job reference: MA24999
This vacancy has now expired.

There is an opportunity for a Quantitative Analyst with a leading global consultancy within the market risk modelling side of the business. The role will involve a broad range of responsibilities including model development, methodology, validation, and documentation.

Key Responsibilities will include:

  • Model development in regards to FRTB requirements
  • Model validation
  • Maintenance and enhancements of the VaR and Expected Shortfall Models
  • Liaising with other business stakeholders on Market Risk Model changes
  • Providing Technical Guidance and Expertise on Market Risk Model related matters
  • Relevant documentation

The role requires a candidate with experience in market risk quantitative analytics, understanding of regulatory driven (FRTB) projects, and proficiency with relevant programming languages.

In return, the starting salary will be in the range of £60,000 - £85,000 plus bonus.

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