VP, Quantitative Analyst (CCR)

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Charles Levick
  • 16 Jan 17

Seeking a VP, Quantitative Analyst (CCR)

My client a leading Financial Services provider is looking to recruit a VP, Quantitative Analyst (CCR) with strong risk factor modelling and solid Economics/Econometrics understanding. You will join the company as a Cross Asset Quantitative Analyst where you will research, prototype, implement and documentation of simulation and pricing models across various asset classes, including Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets for the purpose of Counterparty Credit Risk (CCR) in order to enhance our internal risk management and comply with relevant regulations (Basel 3, FRTB, CCAR).

Department Overview:

The Quantitative Analytics group is responsible for the research, development and implementation of market leading quantitative models across all asset classes and areas (Interest Rates, Inflation, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets, Market Risk, Counterparty Credit Risk, Banking Book, Asset and Liability Management and Financial Modelling).

Key Specific Accountabilities:

* Deliver prototypes using or extending as appropriate our Python-based modelling platform.
* Develop the models in C++ and assist IT to integrate them into the production system.
* Participate to the design and the development of a robust, scalable, and extendible CCR solution for the bank's derivatives businesses.
* Support Risk, FO and IT users of our analytics.

Stakeholder management and leadership
* Good project management skills; ability to work and deliver within tight deadlines. * Strong interpersonal skills and a team player.
* Ability to work well in a fast-paced environment with changing priorities.

Risk and Control
All colleagues have to ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards

Essential Skills, Experience & Qualifications:

* Strong quantitative & analytical skills: The role requires a strong quantitative modeling background based on a PhD or Master's Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.
* Domain of expertise in any combination of (2 or more products) CCR/XVA, Equity, Commodities, Interest Rates, Inflation, Credit or Foreign Exchange.
* Risk and control mindset: ability to ask incisive questions and converge on critical matters, assess materiality and escalate issues.
* Very strong knowledge of statistics, e.g. regression analysis, reject inference, decision trees, cluster & time-series analysis.
* Track record of producing high quality written communication, and presenting to technical and non-technical audiences.

Preferred Skills, Experience & Qualifications:

* Experience in statistical modeling (PCA/ICA/NMF, econometrics, etc).
* Experience in delivering production quality code in a large shared quantitative library, including use of source control, continuous integration, unit and regression testing.
* Track record of leveraging rapid prototyping environments like Ipython notebook, Matlab, R, or similar for research and model development.