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Quantitative Analyst - Fixed Income - 6 month contract

eFinancialCareers
Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

Core Responsibilities:

  • Acting as the SME and liaising with front office, technology, and market risk managers to implement, review, and signoff on new risk models and existing model upgrades. Making key analytical decisions in regards to market risk modelling for interest rateand FX derivatives.
  • Assessing appropriateness of the market risk model outputs by performing time series review, VaR backtesting, PLA test, pricing model benchmark, and stationarity tests. Explaining backtesting breaches. Quantifying the materiality of any model limitations(e.g. RNIV).
  • Documenting model implementation details, tests, and findings for model validation review, in accordance with Firms Model Risk Management policies and framework.
  • Identifying and implementing changes to existing regulatory and internal risk models to support Libor cessation. Testing and assessing the impact of changes driven by Libor transition.
  • Providing analytical support to the risk managers. Providing support for BAU issue troubleshooting with present risk applications and systems.
  • Designing and developing Python based processes necessary to support data sourcing, model execution, or model output reporting. Seeking continuous process improvement, efficiency, and automation.
  • Responding to new product requests and ad hoc queries from business in timely fashion and work independently on projects with strict deadlines and ability to manage multiple tasks/projects
Qualifications:
  • Strong background in market risk models and methodologies (e.g. time series analysis, VaR methodologies and backtesting), with 5-7 years of previous experience in a quantitative role at a financial institution.
  • Knowledge of LIBOR requirements, and previously experience participating in a LIBOR transition project a plus.
  • Good understanding of fixed income pricing models and products.
  • Strong programing skills and data handling skills in SQL and Python (ability to wrangle large data sets, implement statistical tests, and perform data analysis on test results).
  • Excellent communication and presentation skills (ability to engage in concise, effective discussions).
  • Excellent written skills (ability to produce well-structured technical model documentation).
  • Ability to work without significant direct supervision.
  • Knowledge of RiskMetrics, Murex, Numerix and/or Bloomberg a plus.
  • Hands on knowledge of VaR model and stress tests and experience with related time series and statistical analysis
  • Knowledge of financial math, stochastic calculus, asset pricing theory and statistics. Detailed understanding of several financial products such as Rates, FX, or Securitized products
  • Understanding of IR and basis curve building methodologies under multi-curve framework
  • 3+ years of hands-on and detail oriented development experience (object oriented programming preferred) in a global banking environment.
  • Experience in risk model submission and getting approval from regulatory bodies
  • Experience with FRTB or CCAR models a plus

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