PCH - Quant Risk_1553601430
about 1 year ago
My client, a top tier financial institution is looking for a CDS Credit Quant Analyst to join their team based in London who can also face off to the business side and work as a Quantitative Business Analyst.
- Development and implementation of risk model changes to accommodate for new products. CDS risk model framework covers mainly market risk on all risk factors of the European and American / index and single name CDS products as well as Credit Index Options, from usual price moves to jump to default risk and liquidity issues.
- Enhancing the existing risk model; recommend methodology changes based on quantitative analysis; write business requirements and design corresponding unit test cases for the risk changes; and provide general support to the test team for risk related issues.
- Risk model methodology changes
- Propose innovative and workable solutions to cover against market risk and product specific risks.
- Develop quickly and reliably prototypes to assess the behaviour of a new methodology on a
- range of sample portfolios and recommend changes.
- Present and document the recommended changes in methodology in a clear and concise manner.
- Risk model changes IT implementation
- Write business requirement documents which specify the changes to be brought to the risk calculations, accompanied by a suite of relevant test cases.
- Liaise with the other teams to explain the margin changes and help them investigate suspicious end to end test results.
- Analyse risk measures on portfolios to explain the risk profile / variations of risk profile of portfolios on an ad-hoc basis.
- Master's degree (or equivalent) of a computer science or mathematical bias;
- Experience in a risk management environment within an investment bank or similar;
- Advanced Excel user / VBA Macros, good knowledge of R;
- Exposure to object programming such a C++ or Java would be appreciated;
- Knowledge of financial products pricing (knowledge of CDS would be appreciated);
- Excellent analytical, numerical and problem solving skills, with good attention to details;
- Good communication skills, both oral and written;
- Ability to work alone or as part of a team.
Please sent your CV to firstname.lastname@example.org
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.