Global investment bank seeks an Associate level Quant Analyst as part of their expanding Stress Testing Analytics function which enhances and develops stress testing models across risk disciplines.
The Stress Testing analytics is part of the Global Risk Methodologies Group has the mandate to develop / enhance stress testing models in line with internal and regulatory requirements/guidelines provided on Stress testing framework. The methodologies side of the group has the critical task of owning, developing and validating all the stress testing models that are used for computing capital adequacy and reporting for the whole firm under various regulator(s) provided scenarios or internal scenarios. The team works extensively on the regulatory capital model under stress scenarios for market and counterparty credit risk while also owning models pertaining to the construction and expansion of scenarios.
§ Relevant years of experience either in Market risk or Credit risk with good understanding of risk modelling.
§ Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.
§ Good knowledge of Python, SQL, Matlab, VBA.
§ Good understating of financial products (Bonds, Derivatives)
§ A strong Mathematical/Statistical background.
§ Actuaries (Cleared at least 3 CT papers) would be advantage
§ FRM/PRM/CFA certification would be added advantage.
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
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