Senior Quant Risk Management Associate

Senior Quant Risk Management Associate

Location: London, UK (Hybrid)

Salary: £100,000/YR - £110,000/YR

Permanent

Description

Our Quants team are working with complex and advanced modelling and we’re looking for someone ready for a new challenge to join the London team. The Senior Quantitative Risk Associate is responsible for developing Risk/Pricing Models that evaluate counterparty exposures to the Clearing House. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, & also developing tools for Portfolio Analytics. The incumbent also works to develop strategies to perform back-testing to ensure the adequacy of margin coverage & model assumptions.

Principal Accountabilities:

· Conduct empirical studies and make recommendations on margin levels, modelling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field.

· Enhance existing risk models as well as design/prototype new models across different asset classes like OTC products and Exchange-traded Futures and Options (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).

· Perform risk analysis and develop risk solutions

· Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure.

· Document and present results to Sr. Management and/or Risk Committees.

Qualifications:

· MSc or PhD degree in Quantitative Finance, Statistics, Mathematics, Computer Science, Physics, or a relevant scientific field.

· 3+ years of experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors.

· 2+ years in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models.

· Academic experience in probability theory, statistics, and stochastic processes.

· Experience providing theoretical justifications for risk models.

Skills & Software Requirements:

· Proficiency in programming languages such as C++/C#, Python, R, VBA and SQL is essential.

We are operating a hybrid working pattern with the flexibility to work from home 2 days a week