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Quantitative Risk Analyst

London, Greater London, United Kingdom, £ £ - Annual Annual, Contract


Quantitative Risk Analyst

Large banking client

London based

6 months initially

PAYE Contract

Department Profile
The EMEA Market Risk Management Division is responsible for the independent identification, analysis, reporting and escalation of all market risk exposures arising from EMEA and UK Group business activities, acting independently of business management and providing an effective challenge process.

The Market Risk Analytics team is responsible for the development of market risk methodology and market risk models which feed directly into the firm's internal and regulatory capital calculations and risk management frameworks.

Primary Responsibilities:
The role will work on the development and testing of full revaluation type models for interest rates risk modelling. Core responsibilities include:
* Development, review, testing and enhancement of market risk models in particular full revaluation VaR for interest rates and FX risk factors.
* Contribution to key regulatory deliverables as well as analysis and interpretation of key regulatory requirements.
* Development of extensions and additional capabilities to market risk capital calculations.
* Collaborate with the other teams (data, IT, change management) to ensure that model changes and extensions are appropriately implemented.
* Support model developers throughout the model development and implementation cycle by providing ad-hoc analysis or any other relevant request
* Document model extensions and associated developmental analysis, present results to partners and stakeholders

Skills required
* Relevant minimum 5 years experience in quantitative risk role within an investment bank or in similar quantitative roles within finance, e.g. risk methodology, model validation, quantitative analysis
* Interest rated modelling expertize for risk purposes
* Good understanding of quantitative risk model development, including good knowledge of financial products and their risk representation.
* Demonstrable experience in delivering enhancements to models, ability to produce high quality, accurate work, under pressure and to tight deadlines
* An excellent academic background, including an advanced degree in a quantitative discipline, such as quantitative finance, statistics/mathematics, sciences or engineering.
* Excellent mathematical, analytical, problem solving and troubleshooting skills
* Strong programming skills and demonstrable experience in coding numerical methods and algorithms, data analysis and manipulation.
* Advanced knowledge of at least one prototyping programming language ( e.g. Python) and preferably experience/knowledge of professional development concepts and technologies and modern development toolchain
* Strong communication skills for written, graphical and verbal presentations and ability to explain complicated concepts clearly to business partners and present proposals in a clear and precise manner.

Job Details

Not Specified
London, Greater London, United Kingdom
£ £ - Annual Annual