Description
Traded Risk Quant - London (remote initially) - £ per day (inside IR35)
Our client, a global bank, is looking for an experienced quant to join their team based in London
The successful applicant will be responsible for supporting the development and maintenance of market risk models and methodologies for more accurate traded risk measurement and management, improving Market Risk models for the Global Markets Portfolio, with special focus on the Credit Asset Class
Responsibilities:
- Develop/re-design market risk models (especially for Credit products) for accurate measurement of VaR, Risks Not in VaR, Idiosyncratic Risk etc.
- Understand both regulatory and business requirements and propose models that are fit-for-purpose
- Act as an SME in pricing & risk of Flow Credit (including credit bonds) and Structured Credit products and liaise with both Front Office Traders, Quants and Traded Risk
- Proactively build tools in Python to test the proposed models, to formulate requisite analysis and to measure the impacts of model change
- Be responsible for Model Life Cycle - from objectives to model development/testing, documentation, on-going model assessment and validation
- Assess and validate the performance of risk models using real world data - Understand the features, assumptions and limitations of the model, propose a validation approach and identify target market data for the purposes of validation
- The risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Hair-cuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB), Capital Models
- Build Python-based prototypes and risk library
- Identify areas for efficiency improvements, automation and enhanced controls in existing processes.
- Liaise with stakeholders including Business with traded risk exposure to credit products, Traded Risk Functions, including desk risk managers, Independent Model Review Function, Finance and Audit
Requirements:
- Good understand pricing and risk management of Credit products like CDS, TRS, Basket CDS, Contingent CDS, Corporate Bonds, Bonds with Optionality, ABS/MBS, Credit Index Options etc.
- Ability to explain model details to other areas of the bank in non-technical language and assisting in the on-going usage of these models in a day-to-day risk management setting, eg helping to explain significant model value changes
- Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in Credit Front Office or risk management
- Professional qualifications such as FRM/PRM/CFA Levels are an added plus
- Good understanding of statistics
- Python programming skills
- Good understanding of market risk measures, data challenges and Proxy techniques
- Strong analytical skills
- Ability to communicate effectively with senior Traders, Quants and senior Risk Managers
Please apply now for immediate consideration and further details.
Keywords: Quant, Quant analyst, Quant developer, Trading Risk, Traded Risk, Risk models, Model development, Market Risk, Credit products, Python, Investment Bank, Investment Banking.
Scot Lewis Associates Ltd is acting as an employment business.