Senior Quantitative Analyst recruitment
Key Responsibilities
Team-wide responsibilities relate to defining new risk measurement methodologies and following up associated system developments with the Risk Systems team. The team also provides technical and methodological support to credit officers, market risk analysts, marketers/traders and Group Risk Management and contributes to the production of counterparty exposures, credit adjustments, value-at-risk and economic capital. This involves assessment of the portfolios as well as risk and exposure quantification during the new deal evaluation process.
The specific role will involve all aspects of the team-wide responsibilities but in addition leading the methodological research in a particular focus area (to be defined based on candidate's experience). This may involve the mentoring of junior analysts, directing small project teams, and possibly the direct line management of one or two reports.
Skills and Experience
The candidate should have a strong quantitative background with a masters degree (or similar) in mathematics, physics or quantitative finance. A Ph.D. is preferred but not necessarily required depending upon work experience.
Previous experience must include exposure to a quantitative finance environment (e.g. Front-Office quant, Model Validation quant, Market Risk in a quantitative modelling role, financial engineer in risk software company, etc).
Experience and knowledge of the following is essential:
- Derivatives instruments, risk drivers and the models used to price them.
- Practical experience of asset simulation models (e.g. Interest Rate models, Credit models, etc, in a Monte-Carlo framework)
Management experience is not essential but proven leadership skills are desirable
