Quantitative Risk Analytics - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

3 weeks ago

Posted by:

Tom O´Connor

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Description

Job Summary

London
Permanent
JN

Jan 06, 202

Competitive

Job Description:

Global banking group seeks an Analyst level Quant as part of its expanding Risk Analytics division. Role offers exposure to a wide range of risk and pricing models and cross asset derivatives.

In addition, the Analyst also contributes to the provision of management information and risk analysis of Banking & Treasury portfolios.

The Analyst is accountable for reporting any outstanding data anomalies/process to ensure continuous data/systems integrityunder the Internal Control Framework (ICF).

Accountabilities & Responsibilities
Depending on the area of specialisation, Analyst, QRA is responsible for all or most of the following:

Produce credit, market or other relevant risk measures and interpretation of the results on a regular basis. Identify and analyse portfolio concentrations and sensitivities, perform regular checks with other information systems to ensure the Risk ManagementSystem integrity and report any data anomalies and system-generated alerts to colleagues.
Participate in projects with guidance from Principal and/or Associate Director, with the aim of improving the existing modelling or to deliver bespoke analysis.
Provide advisory pretrading structuring, collateral mitigants and portfolio whatif analysis for Treasury and Banking. Perform portfolio incremental exposure, sensitivities calculation and liquidity haircut calibration. Develop and maintain programs enablingefficient checks and analysis of inputs and outputs from both Treasury and Banking market risk systems including current market data, time series of risk factors, trade details as well as risk measures and sensitivities.
Maintain the proprietary automated tools required for risk factor parameters estimation, addon calibration, backtesting, PFE and/or Valueatrisk methodologies enhancement.
Perform Economic Capital calculations and participate in the development and calibration of risk systems.
Perform the regular market, liquidity and/or credit risks operational processes, including the ICF testing, valuation reconciliation, market risk factors parameters estimation, backtesting, addon calibration and impacts analysis on the portfolio exposures.
Participate in the inhouse analytical/pricing library implementation including new scenarios generation models, pricing functions, sensitivities calculation or risk aggregations.

Knowledge, Skills, Experience & Qualifications:

Some relevant financial industry experience (typically an internship) from an investment or commercial bank, private equity, asset management firm or financial consulting firm operating to international standards.
MSc in Quantitative Finance or Math/Sciences
Strong quantitative skills in financial modelling and statistics/econometrics.
Significant practical experience with the implementation of credit and/or market risk measurement methodologies
Good understanding of all major capital markets instruments across asset classes
Extensive knowledge of industry best practice and the latest status of regulation in the field of credit and/or market risk
Good understanding of risk management and portfolio valuation techniques
Plans work well, establishes suitable priorities, anticipates problems and responds in a timely manner, meets deadlines.
Ability to communicate well at all levels, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
Ability to work to deadlines and under time pressure.
A positive attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be through compromise and consensus building.
Proficient in at least one programming language : Python, R, SQL, C++.
Knowledge of ActiveViam, Summit and/or Numerix desirable.
Knowledge of devOps, agile development and Git desirable.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.