Senior Quantitative Analyst Market Risk

What you will be doing

• Investigates and manages large data sets, ensuring consistency and quality and build tools to enable the data to be easily accessed by analysts across Risk.
• Contributes to the understanding of the design and utilization of methodologies to assess risk/reward of the portfolio, such as VaR back-testing, p&l stress testing, scenario analysis, market liquidity analysis, Potential Future Exposure (PFE), credit stress testing, cash margining analysis.
• Supports the development of complex option valuation model to support ad hoc advanced analytics at a transaction level such as developing ad hoc Monte Carlo option valuation model to support deal valuation and risk management efforts.
• Ensures process excellence, identifying inefficiencies, inaccuracies or bottlenecks in Risk processes. Ensuring that error-checking is a natural part of all processes so output is Right First Time .
• The job holder manages the engagement with a large variety of (groups of) stakeholders on an operational level and, at times, contributes at a strategic level.
• Works under direct supervision of Manager for moderately complex activities; given broad guidance on operational activities. Decides which approach they take; however, guidance could be provided by more senior colleagues.
• Engages in innovative research tasks, support the implementation and development of quantitative solutions for risk management.
• Identifies areas of improvement when applying the existing methodology and suggests changes.

What you bring

• At least 10 years of relevant working experience
• Educational requirement in a Masters Degree or PhD
• Experience with both mode development and model validation
• Good to have research experience
• Fluent in Python, and other coding language, bash shell scripting
• Need to be good with Advance statistical analysis and advance mathematics such as partial differential equation, Monte Carlo simulation
• Exposed to Oracle and SQL database

Disclaimer: This job posting has been aggregated from external source. Role details, content, and availability are subject to change. Applicants are advised to confirm the latest information directly on the company website before applying.