Quantitative Risk Analyst

  • Location:

    London, England

  • Sector:

    Banking & Financial Services

  • Job type:

    Permanent

  • Salary:

    Negotiable

  • Contact:

    Phoebe Cheung

  • Job ref:

    PCH - Risk_1619622201

  • Published:

    11 days ago

  • Expiry date:

    2021-05-28

Responsibilities:

  • Working closely with the Market Risk, Counterparty Credit Risk, Product Control, Finance and Front Office teams to provide quantitative support and practical solutions
  • Supporting changes to interest risk in the banking book, valuation adjustments, modelling of market risk factors and/or stress testing models
  • Demonstrating an understanding of derivatives across asset classes (fixed income, inflation, FX, equity), from a theoretical perspective
  • Responsible for the quantitative aspects of model development and its implementation
  • Helping evolve the existing models into more user-friendly deployments using tools such as R-shiny or Python Dash
  • Supporting the closure of internal validation recommendations in a timely manner and regular model monitoring

Requirements:

  • Demonstrating strong quantitative skills applied in modelling and data analysis
  • Theoretical understanding of valuation and pricing models of financial products, derivatives and risk management methodologies (VaR, risk capital, stress testing)
  • Knowledge of statistical modelling of market data, or mathematical/econometric skills
  • Demonstrable programming skills (Python, Dash, R, Shiny R, VBA or C++).
  • Degree level education in a quantitative field (or equivalent experience)
  • A postgraduate qualification/PhD would be advantageous

For more details, please send your CV to phoebecheung@taylorroot.com

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.

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