Top Global Bank Seeks Senior Front Office Traded Credit Risk Business Analyst, London recruitment
This is group is currently running an EPE (Expected potential exposure) improvement program which will , Extend its current IMM (Internal Model Method) waiver status to include Interest Rate Options, Credit Derivatives and Inflation products; Implement a multi-step Monte Carlo risk factor evolution model; Integrate collateral valuation in EPE; Deliver EPE specific CRD4 requirements (Stressed EPE, Specific WWR, Margin Period of Risk)
The role is for an experienced business analyst to work on the Pricing, Stress Testing Real Time Risking workstream. The candidate will report directly to the workstream lead and will liaise with the EPE Quant Analytics team, Risk IT, Traded Credit Risk Management, upstream data providers (front office trade and market data teams) and downstream Regulatory Reporting teams.
Role specific responsibilities
This is a hands on role requiring an experienced business analyst with a track record of delivering on derivative risk projects (market or credit risk) within investment banks. The candidate is expected to capture business requirements, perform detailed analysis on pricing models as defined by the methodology team, specify user and data requirements, produce functional specifications, liaise with Risk IT throughout the project lifecycle, produce functional test plans and execute functional testing.
Responsibilities/deliverables include
- Work closely with the Quant Analytics team to understand the pricing models and their data requirements
- Work closely with the Scenario Analysis team to understand how the pricing models fit with the Risk Factor evolution models
- Develop prototypes or analyse existing data to validate the models
- Conduct detailed analysis of data requirements (trade and market data)
- Liaise with Risk IT to ensure their understanding of requirements
- Liaise with upstream IT team data providers
- Perform functional test execution of Risk IT implementation of functional requirements
- Support UAT phases and provide education and training where necessary
- Support the parallel running of Capital/RWA impact in preparation for FSA submission
- Support the creation of FSA IMM Submission documentation where necessary
Ideal Candidate
- Degree educated in a numerate degree (maths, physics, engineering)
- Experience of Financial Engineering Mathematics (e.g. Monte Carlo simulation, calibration and valuation)
- Experience of sourcing market data for modelling purposes, counterparty credit risk management processes
- Understanding of OTC derivatives and appreciation of pricing/valuation
- Hands on business analysis experience within an investment bank
- Experience of capturing business requirements, process/model requirements and performing detailed analysis executing functional testing
- VBA/C# coding skills (or similar), Excel skills, Strong documentation skills and use of Microsoft Word, SQL
- Understanding of FSA regulatory IMM capital model requirements
If you want to work in hands on front office position in a Global Investment Bank for up to £85k apply now