Description
Quant Risk Analyst, Market or Credit Risk, Methodology, London, 6 months
Tier One Investment Bank is looking to appoint a Quantitative Risk Analyst to their team to work within and develop their risk methodologies.
This role will sit in the Counterparty Credit Risk (CCR) Stress Testing Methodology team within the CCR Stress Testing team in Credit Analytics. The hire would be required to work on the development and maintenance/improvement of counterparty credit risk stress testing methodologies with particular focus on the Risk Weighted Assets (RWA) under different scenario definitions for capital (Pillar 2b) calculations purposes
Key Responsibilities
Take lead in the development and enhancement of current stress testing framework to ensure that they are compliant with regulatory requirements and are appropriate for internal risk management limit monitoring.
Perform regular and ad-hoc calibration of scenarios for counterparty credit risk and carry out stress testing on portfolios; top-down, bottom-up and deep dive analysis.
Manage key stakeholders (Credit Risk Officers, Enterprise Risk Management, and Finance) by answering their scenario methodology related queries. Efficiently cooperate within different departments (eg IT), showing ability to explain complex concepts eventually in Leman terms.
Define and document business requirement for counterparty credit risk stress testing for their strategic system implementation.
Challenges Contractor will be facing in this role:
The team is responsible for the sign-off of the scenario Exposure-at-Default (EAD) used in the RWA calculation. The challenge we have is that the methodologies we develop get implemented in the (complex) Risk systems within the organization according to their original (theoretical) design. This means that the successful candidate for this position will need to be dealing and/or negotiating with various teams within the organization in order to achieve a timely and accurate finalization of the processes involved to be able to comfortably sign-off the numbers. This often means being able to juggle between short-term versus long-term results driven by competing stakeholders.
Essentials Skills and Qualifications:
- PhD/MSc in Applied Mathematics (or similar - Quantitative Finance, etc.)
- Knowledge of Cash as well as Derivatives Products and their associated Risks
- Good programming Skills on at least one of the following: VBA, C#, C++, MATLAB, R
- Experience in dealing with IT and/or Model Validation
- Good presentation skills (both technical and non-technical)
Desired Skills and Qualifications:
- Previous experience, preferably in a risk management or modelling role in an investment bank/asset management or risk consultancy firm
- Excellent communication skills, including an ability to provide clear and comprehensive written and verbal responses, and "make complexity simple"
- Product knowledge: OTC (incl. non-vanilla) and ET Derivatives, Secured Financing Transactions (eg Repo)
- Knowledge of Counterparty Credit Risk, including margin modelling
- Data base: SQL or similar
- Hands on knowledge of: Value-at-Risk, back-testing and stress testing ideally matured in the development/validation of models within the IMM, IMA, FRTB, IRC, ERC or any other regularity/capital driven framework
- Solid quantitative background with good knowledge of stochastic calculus, Monte Carlo simulation as well as basics of pricing and hedging
- A reliable and motivated team player that drives projects and tasks independently
- Electrifying with drive and commitment, that is willing to accept challenging tasks under demanding circumstances
- A motivating, congenial and energetic personality, that is loyal and which others like to work and cooperate with
If you wish to apply for the above position, please call me or email on Martin Solutions
Please be advised if you haven't heard from us within 24 hours then unfortunately your application has not been successful on this occasion, we may however keep your details on file for any suitable future vacancies and contact you accordingly.
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