Quantitative Risk Consultant recruitment
About Capco
Capco is a global business and technology consultancy, dedicated solely to the financial services industry. It has recently been positioned 27th in The Sunday Times ‘100 best companies to work for' annual list for 2012.
Key Responsibilities
The role will be dependent on experience but at all levels responsibilities will include typical consulting activities:
Project delivery
o To deliver specific projects on client site individually and as part of Capco and client teams;
o To engage with clients to deliver practical solutions;
o Project management, budget management and client billing.
Practice development
o Proposition and solution development.
Sales and marketing
o Client proposal development and sales support;
o Client presentations;
o Contribution to points of view, white papers and other thought leadership.
Experience
- Experience in quantitative risk measurement and/or pricing across different risks and asset classes within an investment bank, commercial bank or asset management firm;
• Masters’ degree or PhD in a quantitative discipline such as Financial Engineering, Computational Finance, Mathematical Economics, Econometrics, Physics, Engineering or Statistics;
• Risk or quantitative finance professional qualifications such as PRMIA, GARP or CQF would be desirable;
• Experience in developing quantitative risk models using Matlab, SAS, C++ or VBA;
• Strong understanding of capital markets and/or wholesale banking products;
• Strong understanding of statistical and numerical techniques such as Monte-Carlo simulation, stochastic processes or econometric modelling;
- Experience in one or more of the following areas would be essential:
o Value at Risk (VaR) modelling across different products covering vanillas and exotics;
o Yield curve modelling using equilibrium, no-arbitrage or market models;
o Model validation and testing looking at certification levels, statistical robustness tests and governance frameworks;
o Economic / regulatory capital modelling across different risks, with an understanding of correlation measurement and risk aggregation;
o Risk based pricing using credit valuation adjustment (CVA) or Risk Adjusted Return on Capital (RAROC);
o Credit Portfolio and/or Counterparty risk modelling; looking at default/credit migration, recovery and/or exposure modelling;
o Behavioural heuristic modelling in areas such as retail scorecards or liquidity analysis;
o Intrinsic value and capital neutral price modelling for example in asset disposal / restructuring programmes;
o Modelling of correlation risk or contagion using different econometric or statistical techniques.
• Strong ability to interrogate large volumes of data using databases such as MS Access, SQL Server or Oracle;
• Understanding of risk reporting and cube analysis using tools such as Business objects or Crystal,
• Self-starter with a strong ability to apply statistical and numerical techniques in different settings;
• Strong written and verbal communication skills;
• Strong ability to explain technical concepts to senior stakeholders – exhibiting an understanding of strategic levers and governance mechanisms;
• Experience in project management.
Additional Requirements
Previous experience within a management consultancy, financial institution or soft ware vendor.
Excellent communication skills
Project management and delivery excellence
100% travel to client site may be required