My client is looking to hire a senior quant analyst/financial risk officers to be a part of FRTB program. Which will involve challenging development of model process, reviewing the methodology/technical documentation reviews as well be involved in system integration testing (for the implementation of a new risk calc engine) The role will involve working in various departments, focusing on Equity and/or Commodity derivatives.
The role will involve:
Market risk model validation (Methodological features, Market risk governance).
Development of replicating models.
Market pricing for capital markets business units and divisions.
Regulatory work (EMIR, FRTB).
Knowledge of Murex, Algo, Matlab, C++, SAS (Basic, Stat, Enterprise Miner) & R.