Based in central London, a globally renowned trading house is in the market for a Senior Quant Analyst to develop Risk/Pricing Models that evaluate counterparty exposures to the business. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.).
- Enhance existing risk models as well as design/prototype new models across different asset classes like OTC and Futures (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.
- Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure
- Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures
- Ensure that the model is up to date with the proven theories in the field
- MBA/MS or PhD in Finance, Economics, or a quantitative field and possesses strong quantitative, analytical and problem solving skills
- Experience in pricing complex derivatives and performing advanced statistical analysis on underlying risk factors
- Preference will be given to candidate with good experience in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc
- Well versed in probability theory, stochastic processes, and have experience providing theoretical justifications of Risk Models they have developed
- Programming languages such as C++/C#, R, VBA and SQL are essential
This role has great career progression and an excellent package on offer