PCH - Quant Risk_1597324289
about 1 year ago
My client, a Top Tier Financial Institution is looking for a Quantitative Risk Business Analyst to join their team. This is a contract role based in London.
You will be responsible for the development and implementation of risk model changes to accommodate for new products. You will be involved in 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; assist in testing the changes to the reference and market data systems, and provide general support to the test team for risk related issues.
- 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.
- 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.
- Assist in testing the reference and market data system, to ensure that the inputs used for risk calculations are accurate, i.e. validation rules of market data are correctly implemented, par spreads are correctly inferred from conventional spreads, etc...
- 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;
- Knowledge of financial products pricing (knowledge of CDS would be appreciated);
- Sound 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.
For more details, please send 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.