Description
This position sits within the Global Risk Analytics Group with overall responsibility for market, liquidity and counterparty credit risk methodology within the business and forms an integral part of the Global team, which has presence in New York, London and Paris.Within this function the team is responsible for development of quantitative risk models and back-testing capabilities within the bank including market risk (VaR/IHC), counterparty credit risk (CVA/IMM) and liquidity risk models. The quant team is organised into streams of asset classes including interest rates, currencies, credit and equities supported by business analysts and architects forming a consistent methodological approach to research activities.
Responsibilities:
- Analyse, investigate and design risk methods used for accurately capturing risks in methodology projects
- Provide research and analytical support to London risk teams for market risk models including VaR,
- Stressed VaR, IRC and CRM
- Research model developments to guarantee ongoing compliance with UK regulatory requirements
- Liaise with global teams
- Utilize industry best practices, advanced modelling techniques, supplemented by expert judgment and qualitative evaluation of risk methods
- Lead the quantitative research process by recommending changes to methodology through prototyping and simulation exercises
- Involvement in regulatory interaction supporting working groups and Quantitative Impact Studies (QIS)
- Work across lines of businesses to ensure consistent model application
- Presenting quantitative methods to internal risk management committees
Qualifications
- Familiarity with at least some of the following market risk models: IHC,VaR, IRC, CRM, CVA VaR.
- Detailed knowledge of at least one asset class such as Equities, Rates, Traded Credit, FX or
- Commodities
- Up-to-date working knowledge of Basel/CRD IV
- Msc or PhD, or equivalent, in a quantitative discipline such as economics, mathematics, physics, or
- engineering
- Good knowledge of stochastic calculus, Monte Carlo, PDE and other numerical techniques
- Good programming skills (C# or C++)
- Proficient written and verbal communication
To find out more information about this opportunity or to recommend a suitable contact in your network please contact Theo Morapedi at Huxley today.