£800 - £900 per day
Contract Spy
London Area, United Kingdom
Senior Market Risk Model Development
Location - Hybrid (3 days in London)
Rate - up to circa £900/day Umbrella
Contract Length - Initially 6 months
Senior role responsible for the development and analysis of Market Risk (MR) models, with a focus on Equity and FX products. The role supports accurate risk measurement under FRTB IMA and related internal/regulatory requirements, and provides subject matter expertise across pricing and risk computations.
Key responsibilities
● Develop and re-design MR models (especially for Equity and FX) to support accurate measurement of FRTB IMA and other required risk measures, in line with internal governance and regulatory expectations.
● Interpret regulatory and business requirements and propose modelling approaches that are fit-for-purpose, well-controlled, and defensible under internal and regulatory scrutiny.
● Partner with Risk Transformation and Financial Engineering...