Quantitative Analyst - Market Risk

London, United Kingdom
£100k - £130k
08 Aug 2022
07 Sep 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time

Quanteam Group is a Consulting firm specialised in the Capital Markets industry, in Paris, London, Brussels, New York and North Africa.

Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.

The firm mainly takes part in:

Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organisational Transformation & Process Improvement.
IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g C++, Python, C#, Java, VBA), Financial Softwares (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.

As part of Quanteam Group, Quanteam UK (incorporated in 2010) has today more than 80 consultants, working for major Capital Markets players in London.


Our client a French Global Investment Bank is looking for a Quantitative Analyst for their System InteGrated Methods Analytics team.

SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas. The team sits within ERA Models, which is part of the RISK Function of the group. The RISK Function is globally accountable for the definition of official risk policies and guidelines, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with the group's risk appetite. Our client makes sure they have set well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation. Within RISK ERA Models, SIGMA's mission is to develop and continually improve the group's risk models, to ensure the timely monitoring and accurate measurement of market and counterparty risks in the trading book. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), supported by architects responsible for ensuring consistency across methodological research and development activities.


The principle requirement of the role is to carry out quantitative analysis of potential counterparty credit risk and market risk model changes proposed in the context of regulatory or business requirements. Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Implementation in the joint Risk and Front Office (FO) Library, documentation and presentation of results are integral parts of the task. General understanding of the wider market risk modelling framework, in addition to strong C# and writing skills are thus required.

Accordingly, the role does require a solid quantitative background in market risk (preferred) or derivative pricing. Continuous interaction with other teams in RISK and FO will call for strong communication skills.

Working in close partnership with quantitative analysts within SIGMA, analysts with Risk Systems and FO quantitative teams, as well as other stakeholders in RISK and FO, the successful candidate will be expected to:

- Contribute to the delivery of this methodology project, gathering and documenting requirements, considering all stakeholders' interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance and regulatory processes;

Investigate, analyse and design the risk method, respecting the aims of accurately capturing risks whilst considering regulatory, system or other environmental constraints;
Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment;
Ensure the methods are adequately documented to support internal reviews and validation by internal auditors or regulators, by providing sufficient developmental evidences (i.e. materiality studies, description of assumptions, benchmarking against external methodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation teams.


To be successful in this role, the candidate should meet the following requirements:

- A strong academic background, with at minima a Masters in mathematics, physics or quantitative finance;

Proven experience in a quantitative finance environment, preferably in a market risk or similar modelling capacity (knowledge of asset simulation and stochastic models is a must);

Practical knowledge of derivatives, their risk drivers and pricing models (IR/FX asset class);
Design and implementation of quantitative models, using C# or C++ in a source-controlled environment;
Ability to contribute and operate with low level of supervision.

This role will expose the candidate to a wide range of professionals within the bank. Accordingly he / she will also require good communication skills (both written and verbal) and the ability to work as part of a multi-disciplinary team.

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