Quant SME

Senior Quant SME - Market Risk
London based - hybrid role  
£900-£960
6 month rolling contract, inside IR35 

Source Technology are working with a global investment bank in their search for a Senior Quantitative Analyst within Market risk.


Key responsibilities include:

• Develop/re-design market risk models (especially for Equity and FX products) for accurate measurement of IMA FRTB, etc. as per internal risk and regulatory requirements
• Understand both regulatory and business requirements and propose models that are fit-for-purpose
• Liaise with Risk Transformation and Financial Engineering teams- starting from defining the objectives to model development/testing, building the model in Python, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny
• Act as an SME (Subject Matter Expert) in pricing & risk computations for Equity and FX products and liaise with both Front Office Traders, Quants and Traded Risk
• Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change.

Key skills we're looking for:


!!!FRTB EXPERT!!!

• Masters level in Math/Science/Engineering/IT discipline
• Clear and demonstrable familiarity with key market risk measures and regulations
• Good knowledge of derivative products, pricing and risk models (for Equity and FX in particular, but other asset classes would be a plus)
• Advanced programming skills in Python. Knowledge of C++, Matlab and / or R is a plus although not a prerequisite
• Experience with software build systems, version control (Git, GitHub) and issue trackers (JIRA). Experience in agile workflow is a plus
• Ability to write clear and understandable technical documents
• Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams
• Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level
• May lead and guide more junior analysts

This is a London based hybrid role paying up to £960 per day, interviews are taking place this week so apply now to avoid dissapointment.