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Senior Quantitative Manager - Banking

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  • Dublin
  • 75000 - 85000
  • Permanent full-time
  • Updated 03/01/2018
  • Alan Bluett
this job is expired
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Description

Senior Quantitative Manager - Banking

 

Senior Quantitative Manager - Banking

Our client, a global bank, is now seeking an experienced Quantitative VP in a newly created role. The successful candidate will be part of a team responsible for the development of firm wide methodologies revolving around credit risk management. 
 
The Job:
- Develop and implement new simulation models to project forward values of market risk factors
- Research statistical techniques to estimate model parameters, including volatilities
- Undertake rigorous testing of new and existing models to assess comprehensiveness of risk representation, suitability for intended us
- Develop alternative and competing models
- Benchmark particular model components such as parameter estimation methods or pricing models
- Document models, methodologies, analyses and findings
 
The Candidate:
- Masters or PhD in a quantitative/maths field
- Excellent mathematical skills including solid understanding of stochastic calculus
- Also knowledge of probability and statistics/econometrics, numerical methods and optimisation techniques
- Good knowledge of programming in Python, Matlab or other appropriate language
- Ability to undertake data analyses involving large datasets using appropriate analytical and database technologies
- Experience working on counterparty credit risk models
- Some exposure to standard market products and models
- Knowledge of risk management practices and procedures
- Excellent communication skills, both oral and written
 
Interested candidate should submit their details to the enclosed address.

Ref: 43023
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