Risk Model Performance Quant Analyst, VP

Recruiter
Morgan McKinley
Location
London, United Kingdom
Salary
Competitive
Posted
26 Jul 2022
Closes
10 Aug 2022
Ref
16046552
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Summary
  • Bromley
  • Permanent
  • BBBH807352
  • Jul 20, 2022
  • Competitive

Job Description
Global investment bank seeks a VP level Quant Analyst as part of its expanding Model Performance team responsible for monitoring and assessing the performance of all risk models used across the bank

Our client has an opportunity for a Quantitative Finance Analyst within its Global Risk Analytics (GRA) function responsible for developing a consistent and coherent set of models and analytical tools for effective risk and capital measurement, management and reporting across the bank. GRA partners with the Lines of Business and Enterprise functions to ensure that its models and analytics address both internal and regulatory requirements, such as quarterly Enterprise Stress Testing (EST), the annual Comprehensive Capital Analysis and Review (CCAR), and the Current Expected Credit Losses (CECL) accounting standard. GRA models follow an iterative and ongoing development life cycle, as the bank responds to the changing nature of portfolios, economic conditions and emerging risks. In addition to model development, GRA conducts model implementation, data management, model execution and analysis, forecast administration, and model performance monitoring. GRA drives innovation, process improvement and automation across all of these activities.

The Team:

Its responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets.

This role sits within Model Performance team (MP), which is responsible for monitoring and assessing the performance of all risk models used across Global Markets - supporting risk management in understanding the drivers behind material risk metric movement, the impact of model limitations, and working with the model development team to enhance model accuracy and the overall performance of the analytics platform.

Core Skills:
  • Performing in-depth analysis on the bank's risk model results using various quantitative tools such as backtesting, benchmarking, sensitivity analysis
  • Quantifying the impact of model limitations both in terms of firm level capital and name level exposure
  • From this analysis, pulling together the overall holistic picture of model performance along with clear conclusions on overall accuracy and remediation areas as required
  • Identifying common themes across global markets along with improvement initiatives
  • Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
  • Supporting model development in confirming remediation of model issues prior to their being taken live
  • Driving incremental improvement to our model performance assessment toolset across all business areas
  • Master degree and above (or equivalent), preferably in quantitative finance or a quantitative field
  • Solid working experience in a related field (Market Risk, Initial Margin, Middle Office, Counterparty Credit Risk, or Front Office).
  • Broad financial product knowledge
  • Experience in data analysis, with excellent research and analytical skills
  • Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming)
  • Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions
  • Ability to multitask with excellent time management skills
  • Sense of focus and rigor in the completion of deliverables
  • Pro-active behaviour with capacity to seize initiative

Desired Skills and Experience

*Good knowledge in derivative pricing

*Strong Python programming skills

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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