FRTB Market Risk Quant Consultant - Contract 1Y

FRTB Market Risk Quant Consultant – Contract 1Y

Quant Capital is urgently looking for a Market Risk Quant Consultant to join our high profile client.

Our client is a well known tier 1 financial services consultancy.

The quant team works with clients in Financial Services with regulatory / risk modelling challenges in areas such as Market, Credit risk and Operational Risk. The Quant will work closely with other financial services risk practitioners, IT advisory and Financial Accounting teams, bringing together the range of quantitative modelling and technical skillsets needed to support clients’ often highly specific and complex requirements. The team covers all financial services sectors, with established presence and extensive local knowledge across locations in the US, UK and EMEIA, and Asia.

Fundamental Review of the Trading Book (FRTB) is a key focus area for the Quantitative Advisory Services practice and a strategic value proposition and part of the broader Corporate and Investment Banking Transformation Solutions. FRTB regulations have a significant impact on the front to back market risk management capabilities and technology landscape of global investment banks.

As a Quantitative Advisory Senior Manager, you’ll build valued relationships with external clients and internal peers and develop a portfolio of business by focusing on growth opportunities. You’ll lead presentations and proposals for medium complex projects or elements of highly complex projects, and provide subject matter insight to bids and proposals.

Model Validation Quants Must Have

• PhD or MSc qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics.
• 4 Years experience in a Model Validation or Front Office Quant role or other relevant quantitative finance role.
• Experience in Financial Services, either as part of an institution; in an advisory or business consulting capacity to such organisations or in the regulation of such institutions.
• Experience of statistical and numerical techniques and principles of the theory of probability.
• Knowledge of Derivative Pricing, Market Risk and CVA methodologies used for the trading, risk management and ideally calculation of regulatory capital requirements.
• Knowledge of Derivative Pricing, Market or Counterparty Risk & Financial Services Regulation – experience in FRTB and CRDIV.
• Modelling background, including experience in model development and model validation of Derivative Pricing, Market and CVA models and experience of standard techniques used.
• Experience in any of the following software development environments: VBA/ Java / C++/ SQL/ R / Matlab / .NE
• Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
• Previous experience of regulatory interaction and familiarity with the broader industry and regulatory environment a distinct advantage.

This team is a business driven by technology and trading, all of their models and investment decisions are computer based most of them trading automatically. If you are looking into a further career in finance this is the ideal opportunity.

My client is based in London

Quant, Quantitative, IRD, Interest Rates, Rates, Derivatives, Model Validation, Market Risk