FRTB Quantitative Risk Analyst
Consultant Harriet King
Date posted 04 October 2016
An exciting new role has become available for a risk methodology specialist to work in a global investment bank based in Canary Wharf. The role is focused on the FRTB Programme for the bank, who is looking for a quantitative risk specialist with expertise in market risk methodologies and some experience with regulatory change and implementation.
About the FRTB Quantitative Risk Analyst role:
The role sits within the Quantitative Analytics function in the Trading Book Risk team focused on the development and implementation of counter-party credit and market risk models.
As a FRTB Quantitative Risk Analyst you will be involved in:
- Development and maintenance of current Market Risk methodologies (VaR/Stressed VaR/IRC/FRTB)
- Consult Risk Managers and Regulatory Liaison teams regarding the models and methodologies delivered
- Deliver prototypes using or extending as appropriate our Python-based modelling platform
- Develop the models in C++ and assist IT to integrate them into the production system
- Support Risk, FO and IT users of analytics
- Good project management skills; ability to work and deliver within tight deadlines
- Strong interpersonal skills and a team player
You should have the key skills to be considered:
- Strong quantitative & analytical skills: The role requires a strong quantitative modelling background based on a PhD or Masters Degree (or equivalent) in a quantitative discipline such as Math, Science
- Economics, Engineering, Quantitative/Math Finance, etc.
- Expertise in any combination of (2 or more products) Equity, Commodities, Interest Rates, Inflation, Credit or Foreign Exchange
- Experience in developing or validating market risk, or quantitative pricing models. • Track record of producing high quality written communication, and presenting to technical and non-technical audiences
- Familiarity and experience with Regulatory requirements for Market Risk models
- Experience in developing or implementing short horizon risk (VaR) models
- Experience in delivering production quality code in a large shared quantitative library, including use of source control, continuous integration, unit and regression testing
- Track record of leveraging rapid prototyping environments like Ipython notebook, Matlab, R, or similar for research and model development
If you feel you have a suitable skill set to thrive in this FRTB Quantitative Risk Analyst role please apply or reach out to Harriet King via 02075098258.