Quant Risk Analyst - Market & Counterparty Risk Modelling - AVP

Job Description

Job Summary

• London
• Permanent
• JN -022024-1955346
• Feb 02, 2024
• Competitive

Job Description Global investment bank seeks an AVP level Quant Analyst as part of its expanding Risk Analytics function covering market and counterparty risk modelling. Role sits in the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within the bank. Organisationally, it is embedded in the Risk Models and Regulatory group which which is part of the RISK Function of the group. The RISK Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as thequantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. At the bank a well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independentorganisation. The team services the business activities within the Risk functions scope and provides Risk and the General Management with key risk metrics for their decision-making process, by researching and adopting best practices for measuring and monitoring the risksin scope, working in close partnership with Risk Systems to deliver solutions to users. The teams responsibility also includes any other market and investment related risks, including contributions to CVA (xVA) and capital related measures. This mission requiresthat the team:

• Investigate, analyse and design methodologies respecting the aims of accurate capture of risk and ease of use and understanding by risk managers, whilst retaining consistency within the overall methodological and technical architecture and taking requirementsgathered by the Risk Systems Business Analysis team into account. The ultimate solution must also be balanced with the cost of implementation and take account of the effect on system performance.
• Working in close cooperation with the business analysis teams, analyse the input data required for the methodology and ensure this data can be sourced and loaded into the system.
• Design, develop and test the (prototype or production) code required to implement the methodology in the risk systems, in cooperation with the Risk Systems teams.
• Design and implement the calibration and back-testing methodologies and support the Risk Systems teams responsible for the corresponding production processes.
• Lead methodology projects, ensuring the requirements are met and facilitating good communication between SIGMA, Risk Systems and the risk analysts as well as Front Office research teams and other project stakeholders.

Purpose: Carrying out quantitative analyses and developments as laid out in the teams mission statement

• Scope:

Global responsibility for the Group, in line with SIGMAs team mandate; within SIGMA, the sub-team responsibility comprises a given asset class (e.g. equity/commodity, transversal) or function (e.g. methodology development architecture Core accountabilities of roleWorking in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMAs mission, taking responsibilities for the following:

• Contribute to methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes;
• Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other constraints;
• Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment;
• Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;
• Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS);
• In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate.

Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the initiatives within the Cross-Product stream of SIGMA. Qualifications Knowledge, Skill and ExperienceTo be successful in this role, the candidate must meet the following requirements:

• A strong interest and knowledge of risk management best practises, financial markets and economic developments;
• A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
• Proven experience in a quantitative risk modelling capacity;
• A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
• Exposure to risk measurement and management, including market risk modelling, counterparty credit risk including collateral and initial margin models.
• Design and implementation of quantitative models, using C# or C++ in a source-controlled environment;
• Strong communication skills, both written and verbal;

In addition, the candidate must have a track record of ability to:

• Work to tight deadlines;
• Work flexibly as part of multiple teams and autonomously;
• Grasp the intricacies of governance-related processes and procedures;
• Juggle changing priorities and a varied workload.

Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred. 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.