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Market Risk Analytics Quant - AVP

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH803247
  • Jan 10, 2022
  • Competitive
Job Description

Global investment bank seeks an AVP level Quant Analyst as part of its expanding Market Risk Analytics group responsible for the Market Risk models that support VAR/IRC and related capital metrics.

The successful candidate will be a member of the Market Risk & Capital metrics sub-team of Risk Analytics Group. The team is responsible for the Market Risk models that support VAR/IRC and related capital metrics. These models are used for internal control as well as regulatory capital via the IMA (Internal model based approach). The VAR model covers Rates, FX, Credit, inflation, and Equity. The sub team is supporting the current model and also the transition to FRTB regulations.

The candidate will work closely with other team members, market risk within risk, the IT development teams, project management teams and risk model validators. The successful candidate will work in an inclusive and proactive way, ensuring that the team is reactive to new model development and to resolving issues as they arise, and communicate clearly in reporting to management.

KEY RESPONSIBILITIES

  • Assist with risk model development and maintenance
  • Develop, maintain and improve Market risk models
  • Specifications for revised approach for updated approach to meet FRTB regulations
  • Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose
  • Plan changes where there are model weaknesses.
  • Specify and test system changes to implement improvements.
  • Improve existing operational controls around the models and propose new ones to increase robustness.
  • Support business and market risk department requests in investigations on specific issues.
  • Ad-hoc projects as required, including collaboration with market risk analytics and model validation.
  • Ad-hoc projects as required
  • Proactively contribute to wider Risk function initiatives and projects.

WORK EXPERIENCE

One or two years' experience within Financial services firm

SKILLS AND EXPERIENCE

Required

  • Solid quantitative skills (computer science or maths/statistics or finance higher education at MSc level or above)
  • Understanding of financial markets and products including derivatives
  • Familiarity with principles of pricing derivatives

Desirable

  • Experience of risk related role
  • Excellent Excel knowledge and experience of VBA/Python/R preferable

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

Alex Riedl
Alex Riedl
  • Principal Consultant | Risk Management Recruitment
  • +44 (0)20 7092 0103
  • ariedl@morganmckinley.com