Market Risk Modeling Role - Consulting Firm

Please send your applications IF AND ONLY IF the below skills match closely match!!

Your background:

- Bachelors/Masters from a reputable college/university in a quantitative field such as economics, mathematics, computational finance, statistics, engineering, or physics; industry qualifications including CFA, FRM, PRM or similar would be considered an asset

- 2-5 years of relevant professional/industry experience combining risk management and/or advanced quantitative modeling techniques, preferably within a financial services related industry (e.g., banking and securities, asset management)

- Experience in model development, validation, and benchmarking, specifically related to single and multifactor models, and other modeling techniques (e.g., Merton, Longstaff-Schwartz, Black-Sholes, etc.) within a regulatory context (e.g., CCAR)

- Hands on experience in developing/validating derivative pricing models

- Knowledge of VaR (historic, parametric, MonteCarlo), EOD or intra-day risk & valuation, as well as stress-testing and scenario analysis

- Understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing models and other numerical techniques across a variety of asset classes (e.g., equities, rates, credit, FX and commodities)

- Experience programming in a modern scientific language (e.g., Python, Matlab, R) and some experience with Java, C#, C++, or C. Knowledge of SQL, SAS, and VBA would be a plus

- Exceptional verbal and written communication skills, especially around translating technical knowledge into forms that can be digested by leadership and non-technical project teams; ability to produce independent opinion and actionable recommendations

- Knowledge of VaR (historic, parametric, MonteCarlo), EOD or intra-day risk & valuation, as well as stress-testing and scenario analysis

Call me 080 40221643