Quantitative Risk Analyst, Market and Counterparty Risk Modelling – Assistant Vice President Full Time

Apollo Solutions Ltd
Quantitative Risk Analyst, Market and Counterparty Risk Modelling – Assistant Vice President

Location London

Type Permanent

Sector Corporate Governance

A leading European bank is looking for an experienced Quantitative Risk Modelling Analyst (Market and / or Counterparty Credit) to join their risk modelling team based in London. The team’s remit includes all the IMM models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space. In the context of market risk modelling, the incoming regulation surrounding the “Fundamental Review of the Trading Book” (FRTB) is becoming an increasingly important cornerstone for the team

This is an exciting opportunity to get involved with a variety of interesting projects:

Responsibilities Quantitative (Market Risk and/or Counterparty Credit Risk) – Assistant Vice President:

• Participate in projects, related to Market Risk topics across multiple Asset Classes.
• Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other constraints;
• Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment;
• Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;
• Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS);

Essential skills:

• 5 years + experience within the Quantitative Risk space
• A strong interest in Market Risk and /or Counterparty Credit Risk best practises, financial markets and economic developments;
• A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
• Proven experience in a quantitative risk modelling capacity;
• A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
• Exposure to market risk methodologies

This is an excellent opportunity to join a well established Investment Banking Organisation. Competitive salary, benefits, and flexible working. If you are interested, please apply now. Roxroy Dunkley Senior Manager

A seasoned recruiter with nearly 20 years’ experience, Roxroy “Roy” Dunkley has had a major impact on Apollo since starting with us in 2016. He manages our Corporate Finance, Forensics & Litigation team, a new sector he launched in 2020.

Roy’s team focus on recruiting Senior Management, Director & Partner-level candidates across Corporate Finance, Forensics & Litigation in the United Kingdom and the United States. Personally, he really enjoys the coaching aspect and sense of accomplishment when placing a candidate or partnering with a new client.

A compassionate and dedicated leader, Roy has a long background in humanitarian efforts, focusing on helping victims of human trafficking across the UK. He’s always striving to help others and considers compassion and humour as his best characteristics. Fascinated by its antiquated and untouched nature, he hopes to visit Cuba soon.