They are responsible for delivering an independent assessment of the market and credit risks taken across all trading activities within the bank and the revenue generated in relation to these risks. 
 

The role is within the Methodology & Model Valuation team and involves identifying, researching, developing and prototyping valuation and risk management methods for all products traded. This includes Interest Rate, Equity, Credit and FX derivative products. The focus will be on credit risk management and counterparty exposure analytics.

Responsibilities:

• Prototype and validate risk measurement methodologies.
• Investigate and resolve modelling queries arising from the use of the RM systems.
• Participate in the implementation of enhanced methodologies within the RM Management systems.
• Develop and prototype valuation methods for new and existing products

Requirements:

• Significant experience developing models for evaluating market and credit risk.
• Experience in dealing with all model related IT issues.
• Experience with developing and validating model based stress tests.
• Developing or vetting front office pricing models
• Track record in delivery based performance
• Strong VBA/C++/Mathematica skills or comparable.
• Strong documentation skills: technical documentation, research papers and memos
• Masters or Ph.D .level in a numerate discipline.