Quantitative Analyst - Market Risk/FRTB

London, England, United Kingdom

Job Summary & Responsibilities

  • Contribute to the delivery of this methodology project, gathering and documenting requirements, considering all stakeholders’ interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance and regulatory processes;
  • Investigate, analyse and design the risk method, respecting the aims of accurately capturing risks whilst considering regulatory, system or other environmental constraints;
  • Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment;
  • Ensure the methods are adequately documented to support internal reviews and validation by internal auditors or regulators, by providing sufficient developmental evidences (i.e. materiality studies, description of assumptions, benchmarking against external methodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation teams.


Our requirements

  • A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
  • Proven experience in a quantitative finance environment, preferably in a market risk or similar modelling capacity (knowledge of asset simulation and stochastic models is a must);
  • Practical knowledge of derivatives, their risk drivers and pricing models;
  • Design and implementation of quantitative models, using C# or C++ in a source-controlled environment;
  • Ability to contribute and operate with low level of supervision.