This is a great opportunity to join a fantastic analytical team as part of a Major Global Investment Bank. As part of an expansion to the team based in New York the successful Quantitative Analyst will assist with VaR methodologies and identifying risk factors in products for the whole group. The successful candidate will gain valuable experience working directly with the Market risk managers and covering all asset classes.
My Client is looking for a Quantitative Analyst with experience working in a Market Risk function with particular emphasis on an exposure to equity products.
ACTIVITIES IN THE ROLE
• Scenario exposure modelling for trading systems for revaluation of the options portfolios
• VaR & stressed VaR based on expected shortfall historical simulation, recalculation and delta approximations
• Analyse changes in market data (rate curves, vol surfaces, correlations etc. as well as pricing model parameters)
• Time series analysis, statistical risk measures, CRD III models (Stressed VaR, Incremental Risk Charge, Comprehensive Risk Charge), CVA, CVA Risk
SKILLS & EXPERIENCE:
• Time series analysis, stress testing, stressed VaR, Statistical risk measures and Regulatory requirements (Basel II & Basel III)
• Statistical methods
• Historical stress tests
• VaR models
• Experience programming with C++
• Good team worker
• Time series analysis, statistical methods, and Regulatory requirements (Basel II & Basel III)
• At least 3 years+ experience in a financial institution
If you are interested in this position then APPLY NOW!