Market Risk FRTB Quant
Our client Global Investment Bank is looking for Quantitative Analyst.
Principal Accountabilities: Key activities:
- Assess and validate the performance of risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines.
- The risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Hair-cuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB), Capital Models
- Build python based prototypes and risk library
- Participate in adhoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion.
- Suggest improvements to the existing frameworks with a view to automate systems and help implement agreed changes
- Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the on-shore process team prior to implementation. Document all process changes and improvements to reflect the latest process
- Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
Qualifications and Technical Skills:
- Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in risk management
- Good understand pricing and risk management of Rates products
- Professional qualifications such as FRM/PRM/CFA Levels are an added plus
- Good understanding of statistics
- Python programming
- Good understanding of market risk measures and derivative products
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.