CCAR Quant - VP level

CCAR Quant - AVP/VP level

London based

This team is looking for a Quantitative Analyst to join the front office Risk Appetite Quant team, and support the trading and XVA desks in managing and optimizing their risk appetite.

Responsibilities:

• Understand current methodologies (including Stress Scenarios, CCAR, RWA, ...), models and processes existing on the Risk side.
• Understand the data and time series involved.
• Partner with the business and other quant teams to propose and drive any relevant improvements to the current methodologies.
• Partner with the traders to help on prioritization, guidance and direction.
• Build tools to replicate or estimate some of the current calculations.
• Strengthen the processes used for calculating any relevant add on by building analytics and/or liaising with specific asset class quant teams in order to enhance existing pricing models.
• Development and maintenance of in-house python and C++ analytics libraries.

Requirements:

• Experience in an analytics role including in Market Risk, working closely on CCAR and Scenario design for either trading or XVA.
• Must have technical/programming skills with exposure to Market Data; Statistics and Probability based calculations.
• Hands on.
• Must also possess any level of product knowledge, Investments and Quantitative Methods.
• Consistently demonstrates clear and concise written and verbal communication skills.
• PhD, Master's degree.