Description
Quant Risk Analyst - VBA - R - Matlab - London - Contract (1 year)
We are looking for a Quantitative Risk Analyst with strong financial engineering and statistics skills and 1-2 years of relevant experience to join our team in London covering counterparty credit risk models.
The main responsibility of the person is to validate the models to assess their fitness for purpose typically covering:
- Reviewing the model's conceptual soundness and mathematics, checking appropriateness of modelling assumptions, parameters, calibrations, etc.
- Developing benchmark models (typically according to best industry or academic practices)
- Assessing model risk associated with uncertainty around modelling or specific modelling shortcomings
- Documenting the findings
- Prepare model validation and regular model review documentation for internal purposes as well as for submissions to regulators and other governing bodies
The role has global impact and assumes working closely with model owners (Front Office quants, risk methodology etc.) as well as other stakeholders over the whole model life cycle, including traders, market and credit risk officers, finance etc. offering an opportunity to play a key role in the enhancement of risk management framework in a global bank.
Requirements
- Master's degree in a numerical discipline
- 1 - 2 years of experience in a similar role
- Basic understanding of quantitative risk management techniques and financial mathematics. Knowledge of financial markets and products
- Excellent command of MS Office, familiarity with LaTeX and programming skills (VBA, R, MatLab or similar) are a plus
- Understanding of regulatory requirements in the area of risk management (VaR, CVA/CCR, Stress testing) is a plus
- Excellent written and interpersonal communication skills
- Organized, detail-oriented, self-motivated and respond well under pressure
We are looking for a Quantitative Risk Analyst with strong financial engineering and statistics skills and 1-2 years of relevant experience to join our team in London covering counterparty credit risk models.
The main responsibility of the person is to validate the models to assess their fitness for purpose typically covering:
- Reviewing the model's conceptual soundness and mathematics, checking appropriateness of modelling assumptions, parameters, calibrations, etc.
- Developing benchmark models (typically according to best industry or academic practices)
- Assessing model risk associated with uncertainty around modelling or specific modelling shortcomings
- Documenting the findings
- Prepare model validation and regular model review documentation for internal purposes as well as for submissions to regulators and other governing bodies
The role has global impact and assumes working closely with model owners (Front Office quants, risk methodology etc.) as well as other stakeholders over the whole model life cycle, including traders, market and credit risk officers, finance etc. offering an opportunity to play a key role in the enhancement of risk management framework in a global bank.
Requirements
- Master's degree in a numerical discipline
- 1 - 2 years of experience in a similar role
- Basic understanding of quantitative risk management techniques and financial mathematics. Knowledge of financial markets and products
- Excellent command of MS Office, familiarity with LaTeX and programming skills (VBA, R, MatLab or similar) are a plus
- Understanding of regulatory requirements in the area of risk management (VaR, CVA/CCR, Stress testing) is a plus
- Excellent written and interpersonal communication skills
- Organized, detail-oriented, self-motivated and respond well under pressure