TRADED MARKETS - Quant Market & Credit Risk

 

Organisation

 

A Premier Trading Bank that continues to development foreign markets and has an appetite for bringing new and progressive products to market are looking for a Quantitative Analyst (Credit & Market) across both traded markets and treasury. Located in the CBD, this will be initially a 7 month contract due to the present incumbents secondment to the Project Management Office (PMO)

 

Role

 

• Modelling and measurement of credit and market risk within front office

• Validation of pricing and valuation models used on trading floors

• Development VaR engine enhancements

• Continuous improvement of current market and credit risk framework in the front office

• Project management and delivery of short term tactical solutions within risk measurement and monitoring

• Stakeholder management of Front Office, Technology, external Software vendors, Group Quantitative Risk and Group Risk Management.

 

Individual

 

• Direct experience of Quantitative Analysis within a trading house or Treasury environment

• Experience of Market Risk Management (VaR, Stress Testing) & Credit Risk management (specifically Counterparty Credit Risk)

• Front office exposure ideal

• Immaculate academics ideally post graduate qualification in Technology, Science or Mathematics

• Working knowledge of C++, SQL, Matlab Experience to Riskwatch software

• Understanding of financial instruments including Equities, Rates, Credit, Derivatives and Structured

• Strong organizational skills

• Impeccable communications both written and verbal

• Ability to work under pressure

• Ability to drive multiple projects simultaneously

 

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