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Quant risk FRTB

Employer
Quanteam
Location
London, United Kingdom
Salary
70 000 - 90000
Closing date
Dec 31, 2022

View more

Job Function
Trading
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
WHO WE ARE

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.

THE CLIENT

Structure

The Risk and Capital Function works with members, regulators, policy makers and other standard setting bodies to develop an industry position and produce technical analysis and advice on risk, margin and regulatory capital issues in the cleared and uncleared derivatives market with a view to:

• Ensuring prudent risk sensitive capital and margin regulation is applied uniformly and consistently to various financial risks and across different markets and jurisdictions

• Facilitating the adoption of best and effective risk management practices and consistent model implementation by all participants in the cleared and uncleared derivatives market

• Minimising systemic risk and ensuring safe and efficient markets in cleared and uncleared markets

Quantitative analysis is critical for ISDA and its members both in terms of meeting contractual and business requirements, including on model implementation and fact-based advocacy.

Within Risk and Capital, the Analytics function performs quantitative analysis based on comprehensive members and market data, which is instrumental to the maintenance and management of the ISDA SIMM, Standard Capital Models' implementation, and the development of evidence-based Risk, Capital and margin advocacy. The function reinforces ISDA's credibility with Regulators and is key to achieving substantive changes to proposed rulemakings. The function gives ISDA access to actual members' data allowing to build an invaluable database for regulatory risk analysis and reporting i.e. risk, capital and margin trends over time. The function is critical to maintain the ISDA SIMM, Standard Capital Model Implementation and promote ISDA's fact-based advocacy.

The role reports to the Director of Risk and Capital Analytics.

The Role

The role involves being an active member of the Analytics team to help ensure the Analytics function fulfils its goals and objectives. It includes providing relevant analysis in a timely fashion, primarily to ensure successful Standardised Capital Model Benchmarking and Implementation.

Specific Responsibilities of the role:

• Play an active role in-house analytics capabilities to provide relevant analysis instrumental to the benchmarking and implementation of Standardised Capital Models. This includes analysis supporting the ongoing FRTB-SA benchmarking for the US regions.

Specifically:

- Support existing team members in the delivery of the on-going FRTB-SA benchmarking. This will be the training ground in preparation of the main activity related to the role ie.undertake an active role and be the main Analytics resource in the upcoming FRTB-SA benchmarking for the US region. Responsibilities include:

Help coordinate the US FRTB-SA capital model benchmarking process by collecting and organizing results from each bank, aggregating them and identifying the sources of capital differences, using ISDA's proprietary analytics platform, Perun.

Review the gap-analysis of the newly issued US FRTB-SA rules. Understand the differences to existing regulations and update the relevant Unit Test spreadsheet accordingly.

Interact with participating banks and vendor firms to test, discuss and align capital model Unit Test frameworks and results

• Actively interact with other team members and colleagues, help coordinate responses to members, and optimize the quality and efficiency of the Analytics function

• Ensure ongoing review of the safety and confidentiality of collected data, processes, and analysis results

• Produce relevant material to present analyses and results, support the project and inform stakeholders.

Required Skills and Knowledge

• Relevant experience in derivatives risk management and financial regulation. Experience in derivatives trading, risk or structuring at a global bank or major software vendor is highly desirable.

• Demonstrated knowledge and experience of derivatives markets and global regulatory capital frameworks. In particular, extensive knowledge of the FRTB-SA capital framework. Excellent analytical and quantitative skills

• Experience working with large amounts of data and proven ability to conduct complex quantitative analyses, think of novel ways to derive stories from data and present results to diverse audiences

Desired Experience and Education

• Qualifications in quantitative finance are required to at least Masters level, or the equivalent professional qualification.

• SQL and Python skills desirable but not necessary.

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