Market Risk Senior

Job Type:
Digital Workspace
Job reference:
20 days ago

Market Risk Senior



6 Months

This is a senior role responsible for development and analysis of models, especially related to IRC and DRC, for market risk measurement in the fixed income (FI) space. The core objectives are
(1) to develop IRC/DRC models
(2) to develop code / prototypes for FI market risk models using specifications provided by quants / modelers
(3) to perform quantitative analyses for optimization of FI market risk models
(4) to develop code for interfaces to internal data systems used for FI market risk models
(5) to take part in development of FI market risk models methodology including work on FRTB-related models and model changes

  • Minimum Masters level in Math/Science/Engineering/IT discipline
  • Clear and demonstrable familiarity with key market risk measures and regulations
  • Good knowledge of Interest Rate and Credit products, pricing and risk models
  • 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 junior analysts
  • Open personality and effective communication skills, ability and flexibility to work in an international team
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