Quant Risk Director -(Python required)

City of London Permanent
  • python
  • quantatative risk

About Our Client

A derivatives business.

Job Description

Play an active role in the firms in-house analytics capabilities to provide relevant analysis instrumental to the maintenance and management of the programme.

This includes producing and coordinating analysis supporting the ongoing maintenance cycle: recalibration and validation, backtesting and benchmarking, as well as implementation, optimisation and maintenance of the necessary systems to conduct the following key steps of the maintenance cycle:

1. Implementation of SIMM enhancements into the proprietary Models

2. Collection and validation of the required data from participating banks - identification of data issues, suggestion of data quality improvements, coordination of resubmissions

3. Re-calibration of the SIMM parameters reflecting above SIMM enhancements as well as updated market data under the "3y history + 1y stressed" framework:

* Risk weights 2 * Correlations * Historical Volatility Ratios * Concentration Thresholds

The Successful Applicant

Full command of derivatives markets and global regulatory margin frameworks.

In particular, knowledge of bank's margining frameworks.

Excellent analytical and quantitative skills

Advanced coding skills in Python, Excel VBA.(a must and will be tested)

Excellent communication skills

A self-starter who is strongly motivated, proactive, exercises effective judgment and able to develop the Analytics function's as well as own capabilities.

What's on Offer

competitive package, 10% pension, hybrid working.

Sumrana Saleem
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Job summary

CFO & Financial Management
CFO & Financial Management Subsector
Financial Services
City of London
Contract type
Consultant name
Sumrana Saleem
Job reference

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