3 of 3 PnL Attribution Jobs in Central London

fitting, SABR, SVI, Heston, or equivalent; arbitrage constraints and numerical stability in production Greeks and second-order risk: delta, gamma, vega, volga, vanna, theta; PnL attribution and daily risk reconciliation VaR, stressed VaR, and scenario analysis implementation; working knowledge of regulatory capital frameworks Commodity modelling: term structure … risk system design - latency-aware implementation, incremental recalculation, and feed-driven revaluation Backtesting framework design: walk-forward validation, statistical significance testing, and performance attribution Production-quality Python and/or C++ - code an engineer can review, a CI pipeline can test, and an ops team can support kdb+ ...

data tooling, with the willingness to remain involved in design and code for critical components. Deep, practical understanding of market risk concepts (VaR, PnL attribution, stress testing, scenario design, sensitivities/Greeks, liquidity and basis risk) and how they feed into everyday decision‐making for CROs ...

Python and other data specific tools and languages. As a Project Manager: Provide project management for specific projects - either managing just the Risk and PnL contribution or the overall project as requested. Ensure projects are well tracked against milestones and that progress is clearly communicated. Ensure any risks … teams such as GM Quant Research, Trading and APS (application production support). Ensure that you understand the overall IT strategy for Risk and PnL and that you bring solutions that move towards this strategy. Avoid tactical solutions where at all possible. Provide 3rd line support cover when required ...