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Fixed Income Risk Quant

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Jenrick - IT 700.00 British Pound . GBP Per day

2021-12-03 09:00:22

Job location Barkingside, Greater London, United Kingdom

Job type: contract

Job industry: Accounting

Job Contact: Lydia Cripps

Job Duration: 12 months

Job description

Fixed Income Risk Quant

£500 - £700 a day
12-month Contract
Inside IR35

Working with one of the largest UK Banks

This is a role responsible for supporting the development and maintenance of risk models and methodologies for more accurate traded risk measurement and management.

The core objectives are to:

  • Develop/Enhance VaR, RNIV models in Rates and Credit as per internal risk and regulatory requirements especially in light of the IBOR transition program
  • Contribute to the improvement of these models through assessment of impact, model validation, and helping document changes for internal and external use
  • Understand both regulatory and business requirements, ensuring that the models are fit-for-purpose
  • Proactively build tools in Python to test the proposed models, to formulate requisite analysis, and measure the impacts of model change
  • Be responsible for Model Life Cycle - starting from defining the objectives to model development/testing, model documentation, on-going model assessment, and validation as well as internal & regulatory scrutiny
  • Coordinate projects dedicated to ensuring consistency across sites

Qualification and Technical Skills
  • Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in risk management
  • Good understand pricing and risk management of Rates products
  • Professional qualifications such as FRM/PRM/CFA Levels are an added plus
  • Good understanding of statistics
  • Strong Python programming
  • Good understanding of market risk measures and derivative products

Non-Technical Skills
  • Strong analytical skills
  • Competent in the production of information, and the ability to process and analyse large volumes of data
  • The ability to work under pressure and to tight timelines is essential
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable documents
  • Desire to learn and grow in a challenging environment

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