Equity Derivatives Risk Analysis (trading book) - VP/ED level

Anson McCade
Closing date
6 Jul 2021

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Technology & New Media
Contract Type

Job Details

Equity Derivatives Strat - Macro Portfolio Risk Analysis - VP/ED level

London based

  • Work closely with the Trading Risk Management team and the rest of the front office strat team to build cutting edge tools for understanding the risk of the equity division.
  • Drive the development of the risk infrastructure into systematic risk analysis (factor decomposition, systematic extraction of outliers, etc...)
  • Build new risk measure definition (Vol dynamics, Skew, etc...).
  • Build new custom scenario for better risk understanding closely with the global trading desks.
  • Help the identification of disparity between Risk and PNL Explain.

  • Hands on experience with the risk management of a wide range of equities & equity derivatives product, as a trader, or a strat/quant embedded in trading or in risk management is mandatory
  • Strong understanding of both pricing (i.e. stochastic) and analysis (i.e. statistics) models.
  • Strong drive and desire to work in an intense team-oriented environment.
  • Ability to communicate effectively in both written and verbal English.
  • An advanced degree in a quantitative subject such as Engineering, Applied Mathematics, Physics, Software Engineering.
  • Coding experience (e.g. Python/R/Java) for the purpose of data analysis and prototyping of applications is mandatory

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