Financial Engineer/ Quantitative Analyst, Financial Risk Analytics

Recruiter
IHS Markit
Location
London, United Kingdom
Salary
Competitive
Posted
09 Jun 2022
Closes
24 Jun 2022
Ref
15343931
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
About Us

S&P Global's Financial Risk Analytics (FRA) continues to innovate and deliver best in class risk analytics to its clients. Our solution suite is comprised of Traded Market Risk (including the Fundamental Review of the Trading Book), Buy Side Risk, Counterparty Credit Risk, Stress Testing, and derivative valuations adjustments (xVA) solutions. The solutions cover a broad range of asset classes including Equities, FX, Rates, Inflation, Fixed Income, Commodities, Credit and Structured Products. The suite of products and solutions enable our clients to effectively calculate, manage and hedge risks on their derivative portfolios. FRA sits within Financial Services division of IHS Markit.

We are looking for a Financial Engineer/Quantitative Analyst to join our Financial Engineering team. The team is responsible for building and supporting our financial risk analytics library for all client use cases.

Your Role

You will be part of the Financial Engineering team in London/NY. Working alongside other Financial Engineers, software developers and product experts you will be responsible for adding risk analytic capabilities to our solution suite. Specifically, you will work on the enhancing the Buy Risk solution in terms of product coverage, risk measures and any specific buy side regulatory requirements. Additionally, the team is responsible in supporting existing clients and showcasing modelling capabilities in our products to new prospects.

Key responsibilities include:
  • Develop, test, validate and maintain analytics library with respect to: Structured products pricing models viz. MBS, ABS etc., Derivative and Fixed Income pricing models, and Market Risk Models viz. MC and Historical VaR, Expected shortfall
  • Integrate and work on external pricing libraries like Intex and AD&Co
  • Work with senior stakeholders to crystallise product ideas into production code
  • Quickly iterate over ideas for internal and external proof of concepts
  • Interact with clients to explain the analytics library and modelling decisions
  • Work with Product Management and Engineering teams to handle workflows of Buy side risk solution viz (Pricing and sensitivities, Stress testing, Back testing, PLA, Regulatory reports)
  • Analyse current industry practices and regulatory updates and its impact on client use cases
  • Document pricing and risk models for internal and external audience
  • Support professional services with specific client queries
About You

You are a highly motived individual who loves working on analytical problems. You have experience with working on structured products pricing like RMBS, MBS, ABS etc. You will be well versed in financial derivatives and Fixed Income products. You have worked on third party libraries like Intex and AD&Co. You should be good with a programming language eg. Python and are willing work in other languages which are used in the solution stack. You will be interacting with other teams and with clients as well, hence good written and oral communication is essential for this role. You should be able to articulate complex ideas effectively to internal and external audience.

Key Qualifications and Skills:
  • Numerate degree in a quantitative field
  • Minimum 5-6 years' experience as a FE / Quant Analyst at buy side firm, Investment Bank or other risk analytics company
  • Proficient programming skills in at least one language
  • Experience with third party libraries like Index and AD&Co
  • Experience in financial derivatives, financial risk management
  • Knowledge of development processes and version control system e.g. Git
  • Effective written and oral communication skills with the ability to interact with multiple teams internally
Good to have:
  • Familiarity of Scala, Spark
  • Familiarity with XVA, Counterparty credit risk modelling
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Equal Opportunity Employer:

S&P Global is an equal opportunity employer and all qualified candidates will receive consideration for employment without regard to race/ethnicity, color, religion, sex, sexual orientation, gender identity, national origin, age, disability, marital status, military veteran status, unemployment status, or any other status protected by law. Only electronic job submissions will be considered for employment.

If you need an accommodation during the application process due to a disability, please send an email to: EEO.Compliance@spglobal.com and your request will be forwarded to the appropriate person.

US Candidates Only:
The EEO is the Law Poster http://www.dol.gov/ofccp/regs/compliance/posters/pdf/eeopost.pdf describes discrimination protections under federal law.

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