Senior Quantitative Analyst Market Risk
About this role
Senior Quantitative Analyst Market Risk
What you will be doing Investigates and manages large data sets, ensuring consistency and quality and build tools to enable the data to be easily accessed by analysts across Risk.Contributes to the understanding of the design and utilization of methodologies to assess risk/reward of the portfolio, such as VaR back-testing, p&l stress testing, scenario analysis, market liquidity analysis, Potential Future Exposure (PFE), credit stress testing, cash margining analysis.Supports the development of complex option valuation model to support ad hoc advanced analytics at a transaction level such as developing ad hoc Monte Carlo option valuation model to support deal valuation and risk management efforts.Ensures process excellence, identifying inefficiencies, inaccuracies or bottlenecks in Risk processes.
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