8 months ago
Primary Location: United Kingdom,England,London
Education: Bachelor's Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: No
Job ID: 18061001
Quantitative Risk Analyst
Competitive Salary Offered
This position will provide a broad set of opportunities to a suitable person to be in the centre of all major developments in the field of market risk modelling. For someone with the right competency, keen interest, high degree of motivation and energy, the role offers the opportunity for immense professional development within the bank's growing risk modelling group.
Research, support, enhance and maintain quantitative market risk models (including, for example, VaR, SVaR and incremental default risk).
Work with existing market risk models, and propose solutions where weaknesses are identified in testing, or where new business needs require model enhancements.
Undertake modelling and analysis tasks required on the various internal work streams of “Fundamental Review of the Trading Book (FRTB)” methodology implementation.
Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the market risk models and to support any related production processes.
Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.
Design and develop in-house software for research and data analysis.
Educated to postgraduate level, with an excellent academic record in a quantitative field (e.g. mathematics, physics, statistics, and engineering). PhD or equivalent degree is strongly preferred, but outstanding candidates with an MSc level qualification will also be considered.
Experience in one or more of the following is an advantage: derivatives pricing, exotic products, risk management practices, regulation, numerical computation, statistics.
Good IT skills and experience in programming are essential, for example, with Matlab, Python, R, VBA, C/C++, SQL, Unix.
Excellent oral and written communication skills.
Keen interest in banking and finance, especially in the field of Risk Management.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.