Quant Analyst – Risk Methodology (Interest Rates & FXMM) recruitment
The Quantitative Risk Standards (QRS) team is responsible for defining the risk methodology for consistent risk capture across the firm. QRS mainly focuses on quantitative and model-related aspects of risk measures used for risk management and risk control. QRS is also responsible for defining the methodology for risk sensitivity based PL (Profit and Loss) explain, and quantitative aspects of stress testing and VaR (value-at-risk) methodology.
The role primarily involves:
- Defining the methodology for complete and consistent risk capture for interest rates and FX derivatives in interaction with Front Office and other Risk control functions.
- Review new and improve the current products/models with special emphasis on valuation and risk management.
- Developing new and improving the current methodology for risk sensitivity based PL explain in close collaboration with Trading, MRC (Market Risk Control), and BUC (Business Risk Control) and ensure transparency between risk measures and PL.
- Developing the metrics for assessing and managing model-related risks in particular portfolios with significant or non-standard model risks.
- Actively support main regulatory initiatives within the firm. Identify gaps and propose more adequate solutions in order to meet different requirements from FINMA, FSA, and Fed.
- Closely collaborate with other control functions (FRCM, MRC, BUC, Treasury Control), Front Office (Trading and Quantitative Analytics team), and IT on getting the methodology developed and implemented into the production systems.
Requirements
- Master’s or PhD degree in a quantitative field (e.g. mathematics, physics…).
- Substantial working experience in the financial industry focusing on quantitative risk management and control (e.g. development or validation of valuation models and risk measures).
- Strong background in modelling and risk managing Fixed Income products (e.g. Libor market models, models for multi-currency derivatives, models for inflation products…).
- Solid understanding of different Risk Control frameworks (e.g. stress testing, VaR) and Treasury functions.
- Solid understanding of different Product Control frameworks (e.g. fair value adjustments and their impact on PL and balance sheet, independent price verifications…)
- Experience with regulatory (FSA, Basel) and accounting standards (IFRS).
- Prior experience with Emerging Market is a plus.
- Experience in programming (e.g. C++, VBA) is a plus.
- Strong analytical and problem solving thinking.
- Excellent communication skills and ability to clearly explain technical topics to a non-technical audience.
- Team-oriented but being able to complete tasks independently to a high standard.
July 12, 2012
• Tags: FX & Money Markets careers in the UK, Quant Analyst, Risk Methodology (Interest Rates & FXMM) recruitment • Posted in: Financial