Quantitative Risk Analytics - Associate

Recruiter
Morgan McKinley
Location
London, United Kingdom
Salary
Competitive
Posted
16 Jan 2023
Closes
31 Jan 2023
Ref
18475014
Job Function
Compliance/Regulatory
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Summary
  • London
  • Permanent
  • JN -012023-1915481
  • Jan 06, 2023
  • Competitive

Job Description
Global banking group seeks an Analyst level Quant as part of its expanding Risk Analytics division. Role offers exposure to a wide range of risk and pricing models and cross asset derivatives.

Analyst, Quantitative Risk Analytics (QRA) is a subject matter expert in mathematical / statistical pricing models, manages numerical/quantitative techniques, with understanding of financial markets, transactions, market data, exposure aggregation rules, IT system interdependencies, as well as the ability to interpret and assess the reliability of the results and underlying models and factors. Under the supervision of the Associate Director, the jobholder undertakes tasks, focused on market risk and/or credit risk methodologies, models, controls and processes.

In addition, the Analyst also contributes to the provision of management information and risk analysis of Banking & Treasury portfolios. The Analyst is accountable for reporting any outstanding data anomalies/process to ensure continuous data/systems integrity under the Internal Control Framework (ICF).

Accountabilities & Responsibilities

Depending on the area of specialisation, Analyst, QRA is responsible for all or most of the following:

  • Produce credit, market or other relevant risk measures and interpretation of the results on a regular basis. Identify and analyse portfolio concentrations and sensitivities, perform regular checks with other information systems to ensure the Risk Management System integrity and report any data anomalies and system-generated alerts to colleagues.
  • Participate in projects with guidance from Principal and/or Associate Director, with the aim of improving the existing modelling or to deliver bespoke analysis.
  • Provide advisory pre-trading structuring, collateral mitigants and portfolio what-if analysis for Treasury and Banking. Perform portfolio incremental exposure, sensitivities calculation and liquidity haircut calibration. Develop and maintain programs enabling efficient checks and analysis of inputs and outputs from both Treasury and Banking market risk systems including current market data, time series of risk factors, trade details as well as risk measures and sensitivities.
  • Maintain the proprietary automated tools required for risk factor parameters estimation, add-on calibration, back-testing, PFE and/or Value-at-risk methodologies enhancement.
  • Perform Economic Capital calculations and participate in the development and calibration of risk systems.
  • Perform the regular market, liquidity and/or credit risks operational processes, including the ICF testing, valuation reconciliation, market risk factors parameters estimation, backtesting, add-on calibration and impacts analysis on the portfolio exposures.
  • Participate in the in-house analytical/pricing library implementation including new scenarios generation models, pricing functions, sensitivities calculation or risk aggregations.


Knowledge, Skills, Experience & Qualifications

  • Some relevant financial industry experience (typically an internship) from an investment or commercial bank, private equity, asset management firm or financial consulting firm operating to international standards.
  • MSc in Quantitative Finance or Math/Sciences
  • Strong quantitative skills in financial modelling and statistics/econometrics.
  • Significant practical experience with the implementation of credit and/or market risk measurement methodologies
  • Good understanding of all major capital markets instruments across asset classes
  • Extensive knowledge of industry best practice and the latest status of regulation in the field of credit and/or market risk
  • Good understanding of risk management and portfolio valuation techniques
  • Plans work well, establishes suitable priorities, anticipates problems and responds in a timely manner, meets deadlines.
  • Ability to communicate well at all levels, from senior management to portfolio managers/traders, risk managers, accountants, middle office and IT staff.
  • Ability to work to deadlines and under time pressure.
  • A positive attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be through compromise and consensus building.
  • Proficient in at least one programming language : Python, R, SQL , C++.
  • Knowledge of ActiveViam, Summit and/or Numerix desirable.
  • Knowledge of devOps, agile development and Git desirable.

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

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