Senior Quant Risk Analyst – Financial Services
Senior Quant Risk Analyst – Financial Services - The City, London , UK
The Quant you will be responsible for working in a team that develops Risk/Pricing Models that evaluate counterparty exposures. These include models related to Pricing, Value-at-Risk, Stress Testing, Liquidity, Regulatory Capital, and also developing tools for Portfolio Analytics (Sensitivities, Risk Reports, Margin Coverage, etc.). This senior analyst will also work to perform back testing and statistical analysis required to ensure the adequacy of margin coverage and justify other model assumptions.
In terms of the asset classes, this role would fit someone with academic knowledge or experience in either OTC (IRS, FX, and CDS) or Commodities/Futures asset classes. In terms of financial math skills, it requires a good knowledge of advanced pricing models (Options) and risk methods like Monte Carlo , Volatility Forecasting, Correlation Analysis, Liquidity Risk, etc. Expertise in statistical testing and prior experience with theoretical justifications of Risk Models is also a helpful experience for this role.
This position will also entail significant interaction with the Technology Department to implement, test and maintain these risk models. Also very critical is the ability of the staff to be able to learn the understand core business principles related to Dodd-Frank and other regulatory principles as they relate to Risk Management policies. As such, this role would require the ability to multi-task and operate under aggressive deadlines.
The Responsibilities for the Senior Quant Risk Analyst:
- Work on a team that enhances existing risk models as well as designs/prototypes new models across different asset classes like OTC and Futures (e.g. Pricing, VaR, Backtest, Stress, Liquidity, etc.).
- Ensure deployment, testing and continuous improvement of these models within the Production Infrastructure
- Conduct empirical studies and make recommendations on margin levels, modeling issues, and other risk-mitigation measures. Ensure that the model is up to date with the proven theories in the field.
- Present results to Sr. Management and/or Risk Committees
Qualifications:
- Strong knowledge of pricing complex derivatives and performing advanced statistical analysis on underlying risk factors (returns’ distribution, volatility, correlations, etc.)
- Preference will be given to candidates who can demonstrate the best practices in developing risk models like Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, Liquidity Risk models, etc.
- Experience with some programming languages such as C++/C#, R, VBA and SQL is also required.
- The successful candidate must also possess strong oral and written communication skills.
Daily rate: Up to £750
Contract length: 6 months rolling
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