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Market Risk Quant with Asset Management / Fund Experience

A leading financial services firm is looking to expand their Quantitative Market Risk function, specialising in their buyside portfolio. The role will liaise very closely with the firm key Asset Manager and Hedge Fund clients, with a reporting line into the Head of Analytics.

The roles responsibilities include: understanding business requirements, cleaning/transforming data, determining appropriate modelling methodology, model construction/testing, building prototype models, finalizing the model and documenting the process.

This will include exposure to the following:
  • VaR computation techniques: Variance-Covariance, Historical and Monte-Carlo Simulation
  • Financial Econometrics
  • Arbitrage Pricing
  • Valuation models
Key Requirements:
  • MSC or above in a quantitative subject (Mathematics, Statistics, Operations Research, Hard Sciences)
  • Exposure to and knowledge of modelling issues in asset management with an emphasis on the market risk issues - say predicting redemptions etc
  • Sound knowledge of tools and platforms used in the industry
  • Good Communication skills
  • Experience with Investment risk modelling - meaning experience with portfolio construction/asset allocation and portfolio optimization
Job Details
Job Ref: 338371005
Start Date: Sun, 30 Sep 2018 23:00:00 EST
Hours: Not Specified
Location: London, United Kingdom
Working Term: Permanent
Salary: GBP GBP - Annual Annual