Quantitative Analyst- Market/Counterparty Risk Modelling, FRTB

- i-Gem Associates Limited
GBP700-GBP1k a Day
18 Oct 2016
19 Oct 2016
Contract Type
Full Time

A leading Tier 1 Investment Bank are looking for Quantitative Analyst...

What you will be doing

Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to the team's mission, taking responsibilities for the following:

Lead methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes;

Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints;

Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment;

Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;

In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate.

Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the methodological research and design in a given asset class (to be defined based on candidate's experience and team requirements).

Our Requirements

To be successful in this role, the candidate should meet the following requirements:

A strong interest and familiarity with risk management best practices, financial markets and economic developments;

A strong academic background, with at minima a Masters in mathematics, physics or quantitative finance.

A Ph.D. is preferred but not essential, depending upon level of experience;

Proven experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (eg Front Office quantitative research, model validation) may be considered;

A practical knowledge of credit derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;

Exposure to at least one of the following asset classes: credit, repo, IR/FX, equity, commodities, preferably from a risk management perspective;

Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment;

The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory bodies is a plus;

A good understanding and awareness of the regulatory framework for banks is desirable.

In addition, the candidate will have the ability to:

Work to meet tight deadlines;

Work flexibly as part of multiple teams and autonomously;

Grasp the intricacies of governance-related processes and procedures;

Juggle changing priorities and a varied workload.

Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred.