SRM: Risk Methodology Analyst, Structured Products: VP recruitment

THE ROLE INVOLVES:

Every Risk Methodology Analyst is aligned with a business area and will have the following responsibilities for this area:
• Be broadly familiar with the business and trading strategies and the products traded
• Identification of all market risks arising from this business area
• Development and specification of the VaR model for this area
• Understand and monitor the VaR model’s performance via Backtesting, the VaR Accuracy measure, Risk-based PL and the Backtesting Explanation process
• Ensure that any risk not captured within the VaR model will either be included or is captured within the Risks-not-in-VaR framework, including an appropriate quantification
• Ensure that any significant tail-risk is highlighted to the Scenarios team
• Support the development and specification of the Economic Risk Capital (ERC) model
• Collaborate closely with the Model Validation team to ensure that the risk sensitivities used in the risk calculations are appropriate
• Collaborate closely with the Time-Series and Risk Database (TSRD) team to ensure that the historical data used in the VaR or ERC calculations is appropriate
• Collaborate closely with the Backtesting team to ensure that the VaR model performance measures are available in sufficient granularity
• Collaborate closely with the Strategic Change management (SCM) team in the Risk Analytics and Reporting (RAR) department to ensure that any model changes proposed are appropriately project managed for implementation
• Ensure that the risk models and approaches are adequately documented for both internal and external (regulatory) purposes
In addition to the above business area specific responsibilities, every analyst is expected to contribute actively to the Risk Methodology Group meetings to ensure that risk methodologies across different areas stay consistent Divisional/Departmental Overview RMQA is the quantitative team in the Strategic Risk Management department within the Investment Bank (SRM-IB) and deals with the methodology and quantitative issues relating to market risk. It is made up of two sub-teams:

• Risk Methodology, being responsible for the development and specification of the quantitative methodologies used for measuring market risk including VaR. This group is also responsible for ensuring completeness of risk capture in VaR or otherwise, as well as the ongoing performance of the VaR model.
• Model Validation, being responsible for independent validation of the front-office models used by the firm for PL and risk sensitivity reporting purposes. It is also a major participant in inter-departmental Model Valuation Working Groups which discuss and address current important valuation issues in the firm.

The SRM-IB department is organised in a matrix structure, with horizontal reporting lines by teams (e.g. Risk Methodology or Model Validation) and with close vertical business alignments. As such each analyst will be aligned to a particular business area and is required to provide quantitative support to any needs identified by the Cluster Manager or the Strategic Risk Manager.  Both Risk Methodology and Model Validation analysts will participate in regular business meetings led by the Cluster Manager. Qualifications TO QUALIFY, YOU MUST POSSESS:

Essential
• Second degree (PhD or MSc) in a numerical subject (Maths, Physics etc.)
• At least 2 years experience in a quantitative risk role in an Investment Bank; alternatively at least 3 years of experience in a quantitative role within finance
• Excellent knowledge of varied derivative instruments and their characteristics (e.g. use, pricing, risk)
• Be able to rapidly grasp, apply and explain detailed technical concepts
• Be able to produce high quality work under pressure and to tight deadlines
• Be professional with good interpersonal and communication skills (verbal and written)
• Good computing skills in Excel and VBA Company Profile