PCH - Risk_1610104444
7 months ago
My client, a Top Tier Financial Services Institution is looking for a Quantitative Team Lead to join their team.
This is a permanent role based in London. This role is part of the Front-Office Risk Methodology / First line risk team reporting to the team head.
- Defining margin algorithms (Pricing models, risk models and parameter calibration) in a standard consistent with regulation and internal policies
- Getting approvals from a variety of internal/external stakeholders for new products/models
- Writing Business requirement for IT teams
- Developing and implementing quantitative solutions
- Prototyping and testing (UAT)
- Project work and SME input and implementation of Market Data and Risk related change/projects - Significant involvement is required for any development relating to instrument data or validation changes.
- Analysis of market data to look for trends and new business opportunities.
- Development of the automated eligibility solutions.
- The role will need to be key communication point between IT, App Support teams, businesses teams.
- Prototyping and developing end-to-end pricing and margin algorithms addressing various types of risk and financial products
- Analysis and implementation of performance improvements to the existing VaR/SPAN models across different products in production systems
- Validation/Analysis/Development of the compression and netting algorithms
- Maintenance and support of the existing risk libraries and risk simulators
- Risk Management Responsibilities - Responsible for the generation of daily, weekly, monthly risk reports, ad-hoc risk management tasks.
- Risk Analyst manager required with skillset to automate and build resiliency around all aspects of the margin and default management process. This includes developing both productionised numeric-based solutions and tactical R script solutions, contributing to First Line Risk quant library
- Degree or equivalent finance/quantitative finance, mathematics, computer science-related disciplines, preferably a Masters' degree or PHD.
- 7+ years experience
- Experience of risk management or quantitative role
- Experience in delivering production numeric solutions
- Sound conceptual / technical knowledge of a risk model and IT infrastructure
- Computational skills (SQL, R, VBA, Java) and good numerical competency.
- Autonomy, problem solving skills
- Effective critical analysis and reasoning skills.
- Effective communication skills (written and oral)
- Ability to go into the details and convey messages to a variety of audiences
- Ability to work with team delivery environment
For more details, please send your CV to email@example.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.