Market Risk Senior FRTB Quant

WHO WE ARE

Quanteam Group is a Consultancy firm specialising in the Financial sector, in London, Paris, Brussels, New York and Singapore.

Since 2007, our 800 consultants provide our sector with expertise and capacity across different areas such as Financial Engineering and Quantitative Research, Regulations and Market Change, IT Transformation and Innovation.

Our major clients are Corporate & Investment Banks, Asset Managers, Financial Associations, Hedge Funds, Brokers, Trading Companies, and Insurance Companies.

The company participates in major Programmes driven by Business, Technology and Regulatory initiatives, and we bring business advice through quantitative, risk, front office and organizational experience as well as IT expertise via Business Analysis, Development, Business Continuity and Change Management.

As part of Quanteam Group, Quanteam UK (incorporated in 2007) counts more than 90 consultants, delivering our expertise to major Financial institutions in London.

CLIENT

Our client is a major British multinational investment bank and financial services holding, organised with four business groups: Commercial banking, Global Banking and Markets, Retail Banking and Wealth Management.

SCOPE

Quanteam UK is working in partnership to Identify the gaps in risk models and approaches to mitigate, ensure effective on-going validation and Discovery of enhanced techniques using innovation. The senior consultant will be responsible for development and analysis of market risk (MR) models.

The core objectives are

• Develop/re-design market risk models (especially for Equity and FX products) for accurate measurement of IMA FRTB, etc. as per internal risk and regulatory requirements
• Understand both regulatory and business requirements and propose models that are fit-for-purpose
• Liaise with Risk Transformation and Financial Engineering teams- starting from defining the objectives to model development/testing, building the model in Python, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny
• Act as an SME (Subject Matter Expert) in pricing & risk computations for Equity and FX 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.

Challenges of the Project

• The development of new models to a tight timeframe with a potentially changing set of regulatory requirements
• Understand market risk and quantify risks using models and keeping abreast of any major changes to risk measurements and translating that to impact on asset class data classifications
• Ability to develop market risk measurement methods using available (often limited) datasets and to prove their adequacy (provided sufficient level of model validation)
• Strong focus on securing \ monitoring proper input data quality
• Understand Market Risk (including FRTB) regulations and apply them carefully when implementing model prototypes
• Developing a clear understanding of the Traded Risk IT infrastructure, with the capacity to replicate it at prototype level, and specifically understanding our client Traded Risk systems and infrastructure, both globally and locally
• Developing highly readable and reusable code to tight timeframe. Ability to conform to team's standards for software development

Operating Condition Context

• Must be able to work autonomously and be able to meet tight deadlines.
• Manage senior stakeholders, across business and Traded Risk
• The nature of the role requires close working contact with personnel across many different areas of business and risk and IT, in all regions of the Group
• The project is in the Global Risk Analytics (GRA) function within Traded Risk Analytics. This area is responsible for the definition and development of risk measures, models, related policies, and strategy for managing risk. This includes the development, refinement, review and on-going validation of risk measures and models used within our client Global Group.

Development Practices

• Successfully contribute to projects which secure regulatory approval for new risk models and ongoing approval for existing models
• Help ensure successful implementation of new risk models or model enhancements in Group risk systems, in-line with Group standards
• On-time delivery of risk models prototypes according to provided specification.
• Contributing to reusable software library for market risk analytics

With the following skills:

• Minimum Masters level in Math/Science/Engineering/IT discipline
• Clear and demonstrable familiarity with key market risk measures and regulations
• Good knowledge of derivative products, pricing, and risk models (for Equity and FX, but other asset classes would be a plus)
• Advanced programming skills in Python. Knowledge of C++, Matlab and / or R is a plus although not a prerequisite
• Experience with software build systems, version control (Git, GitHub) and issue trackers (JIRA). Experience in agile workflow is a plus
• Ability to write clear and understandable technical documents

• Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls, and project management teams
• Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level
• May lead and guide junior analysts
• Open personality and effective communication skills, ability, and flexibility to work in an international team