Quantitative Risk Manager recruitment

Quantitative Risk Manager (LONDON)

A leading alternative investment firm is seeking an experienced Quantitative Risk Manager to join their team here in London. The successful candidate will be responsible for development and improvement of quantitative risk systems and portfolio analytics covering all aspects of Market, Credit and Liquidity Risk.

Responsibilities

•  Maintain and update earnings volatility model in line with changes in market environment

•  Run earnings volatility model and analyse output for stress testing, economic capital, ICAAP and other ad hoc purposes

•  Maintain and update market risk models

•  Monthly calculation of market risk VaR and economic capital

•  Quantitative analysis of risks associated with off balance sheet exposures

•  Credit risk analysis of loans to funds and bank deposits

•  Calculate operational risk economic capital and insurance offsets

•  Other ad hoc quantitative analysis for operational risk

•  Prepare liquidity stress testing scenarios

•  Monthly preparation of liquidity headroom report and financial risk profile for the Finance Committee

•  Cost of capital analysis and reporting

•  Prepare quantitative risk disclosures for annual report

•  Analysis and documentation of Pillar 2 (ICAAP) requirements and Pillar 3 disclosures

•  Prepare and maintain documentation for earnings volatility, market risk and credit risk models

•  Ad hoc analysis

Requirements

•  First degree in a Quantitative discipline

•  Strong quantitative skills, especially with regard to mathematical finance, ideally from a banking/ fund management/ consulting background

•  Advanced excel skills including VBA

•  Knowledge of VaR models and Monte Carlo simulations

•  Knowledge of economic capital and Basel II requirements

•  Good understanding of hedge funds and structured products

•  Problem solving and independent thinking

•  Programming skills

•  Experience of databases and business intelligence tools useful

•  Good report writing and presentation skills

If you would like further details on this position, please get in touch with Babar Khan at bkhan@mcgregor-boyall.com.

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