Market Risk Associate - Quantitative Risk Models - Banking/Financial Services

Role Overview: We are looking for a Market Risk Associate with strong quantitative skills and exposure to risk modelling, derivatives pricing, and financial markets. The role will involve supporting the development, validation, analysis, and implementation of market risk and quantitative models, while applying statistical and numerical techniques to complex financial problems. Key Responsibilities: - Support the development, implementation, analysis, and enhancement of market risk and quantitative risk models. - Work on models related to Value at Risk (VaR), Counterparty Risk Exposure, Margin Models, and Stress Testing. - Apply numerical techniques such as Monte Carlo simulation and Finite Difference methods to derivatives pricing and risk calculations. - Perform quantitative analysis of financial models and assess model assumptions, limitations, and performance. - Support the analysis and implementation of interest-rate, equity, and derivative pricing models. - Work with stochastic models including LIBOR Market Model, Heath-Jarrow-Morton (HJM), and short-rate models. - Support modelling and pricing of equity derivatives and exotic payoffs, including barriers, lookbacks, and Asian options. - Work with stochastic volatility models such as Heston and Bates for equity derivative pricing and risk analysis. - Develop and maintain quantitative analysis and modelling utilities using Python. - Apply statistical and econometric techniques to financial datasets where relevant. - Perform model analysis, testing, sensitivity analysis, and quantitative investigations. - Collaborate with Risk, Quantitative Analytics, Model Validation, Technology, and business teams to implement and support risk models. - Prepare technical documentation, model analysis, test results, and related reports. - Investigate model or calculation discrepancies and support root-cause analysis and resolution. - Stay current with developments in market risk, quantitative finance, derivatives pricing, and financial modelling methodologies. Required Skills & Experience: - 4 - 8 years of experience in Market Risk, Quantitative Risk, Financial Engineering, Quantitative Analytics, Model Development, or a related field. - Sound understanding of stochastic calculus and quantitative finance concepts. - Knowledge of numerical techniques for derivatives pricing, particularly Monte Carlo and/or Finite Difference methods. - Good hands-on programming skills in Python. - Working knowledge of market risk concepts and risk models, including VaR, Counterparty Risk Exposure, Margin Models, and Stress Testing. - Good understanding of financial products and derivatives, particularly interest-rate and equity products. - Exposure to one or more interest-rate modelling techniques such as LIBOR Market Model, HJM, or short-rate models. - Exposure to equity derivatives pricing, exotic options, and stochastic volatility models such as Heston or Bates. - Familiarity with statistics, econometrics, and quantitative data analysis is preferred. - Strong analytical, mathematical, problem-solving, and quantitative reasoning skills. - Ability to interpret complex quantitative models and communicate findings effectively. - Good understanding of software development, testing, and documentation practices. - Strong communication and collaboration skills.