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Quant Risk Analytics - AVP / VP

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Job Summary

  • London
  • Permanent
  • JN -012023-1922785
  • Jan 24, 2023
  • Competitive
Job Description

Global banking group seeks a Principal Risk Officer level Quant as part of its expanding Quant risk Analytics function to develop, implement and maintain a wide range of risk models.

Principal Risk Officer, Quantitative Risk Analytics (QRA) has the overall responsibility for the identification, measurement, monitoring and mitigation of credit and/or market risks and exposures incurred in the Bank's operations.

The incumbent directs the development, implementation and maintenance of elements of the credit, liquidity and/or market risk measures, related sensitivities and/or stress tests in a way that effectively presents the evolution of risks both in the Banking and Treasury portfolios so they can be used in various analyses and decision making processes. The role provides the quality assurance on the range of activities, such as the model validation, Economic Capital and/or stress testing to the Associate Director.

Principal Risk Officer is in charge of training the team and advising the colleagues across the Bank on the processes and best practices to ensure the compliance with policies and regulation. Principal Risk Officer acts as the main point of contact on all issues related to the development and design of quantitative risk measures.

Accountabilities & Responsibilities

Depending on the area of specialisation, Principal Risk Officer, QRA is responsible for all or most of the following:

  • Participate in the review of the Market Risk limit framework as well as the implementation of PnL Explain and Backtesting methodologies.
  • Participate in the in-house analytical/pricing library implementation and/or validation including new scenarios generation models, pricing functions, sensitivities calculation or strategic risk aggregations.
  • Deputise for the Associate Director, as required.
  • Contribute to development and coordination of a team's long term strategic plan: participate in recruiting, training and developing staff on agreed policies and practices to maintain strong employee engagement. Supervise and share knowledge with junior colleagues, as assigned by the Senior Manager.
  • Provide guidance and advice to the Associate Director on all matters relating to own area of expertise and in support of related policy updates and implementation.
  • Maintain contacts with financial institutions and external rating agencies with a view to keep up to date with the latest methodologies, regulations and best practises.
  • Apply controls to ensure risk processes, systems and practices are monitored, reviewed and evaluated in compliance with Bank's policies and Internal Control Framework (ICF), and identify opportunities for continuous improvement.
  • Work closely with Credit teams and Finance on delivery of figures for the Capital Adequacy Policy of the Bank. Additionally, provide the Financial Policy and Capital Adequacy team with EC and MtM output for production of the annual Economic Capital Policy review.
  • Directly accountable for the engagement and effective overall management of staff including recruitment, compensation (as agreed with the Head of Department, if applicable), performance management, coaching and development.
  • Champion and role model the Bank's Behavioural Competencies and Corporate Behaviours, ensuring adherence within the team(s) so that the highest standards of integrity and ethical conduct are exhibited at all times.

Knowledge, Skills, Experience & Qualifications

  • Strong quantitative skills in financial modelling and statistics/econometrics
  • MSc in Finance or Sciences
  • Good understanding of financial instruments in general and in particular interest rate, foreign exchange, equity and credit derivative products
  • Significant practical experience with the implementation of credit and/or market risk measurement methodologies, including model calibration and result analysis
  • Extensive knowledge of industry best practice and the latest status of regulation in the field of market and credit risk
  • Good understanding of risk management and portfolio valuation techniques (e.g. VaR, sensitivities, CVA/DVA/FVA, correlation modelling)
  • Ability to communicate well at all levels, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff
  • A positive attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be through compromise and consensus building
  • Proficient in Python and C++
  • Knowledge of Summit desirable

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

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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Consultant Details

Consultant Details

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Alex Riedl