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Risk Analytics – Equity market risk quantitative analyst
Our investment banking client is seeking an experienced quantitative analyst / risk modeler with 5 - 8 years of financial industry experience to join the Quantitative Risk team. Focus of this position is on Market Risk modeling for equity derivatives products.
Core Responsibilities:
* Act as the SME and liaise with front office, technology, and market risk managers to implement and maintain market risk models. Make key analytical decisions regarding market risk modeling for equity derivatives traded in Europe and Asia.
* Assess the appropriateness of the market risk model outputs by performing time series review, stationarity tests, Basel traffic light backtesting, VaR breaches explanation, P&L attribution tests, pricing model benchmarking, and quantification of model limitations (e.g., RNIV).
* Document model implementation details, tests, and findings for validation, adhering to the Firm’s Model Risk Management policies and framework.
Qualifications:
* Strong background in market risk models and methodologies (e.g., time series analysis, VaR methodologies and backtesting), with 5 - 8 years of experience in a quantitative role at a financial institution.
* Good understanding of equity pricing models and products.
* Proficiency in SQL and Python for data handling, statistical testing, and analysis.
* Excellent communication, presentation, and technical documentation skills.
* Ability to work independently without significant supervision.
* Experience with regulatory capital and economic capital models is preferred.
* Knowledge of Numerix and/or Bloomberg is a plus.
Seniority level
* Mid-Senior level
Employment type
* Contract
Job function
* Engineering, Finance, and Information Technology
Industries
* Investment Banking and Financial Services
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