Senior Quant Analyst / Risk / Factor Models / Multi Asset / SQL / Barraone / Asset Management
- London, England, United Kingdom
- Permanent, Full time
- JJ Search
- 31 Jan 18 2018-01-31
The Role: The Senior Quant Analyst will be responsible for the production and provision of timely metrics used to monitor areas of risk management within funds. The Senior Quant Analyst will also be responsible for the production and provision of regulatory risk reporting and investment reporting together with supporting commentary illustrating the balance of risk/performance within funds.
The Senior Quant Analyst will producing metrics that monitor various aspects of fund risk and performance - these can be identified as market risk & model validation, exposures, liquidity risk, risk compliance monitoring, KIID & SRRI calculations.
The Senior Quant Analyst will collaborate with Front Office in the development and deployment of appropriate modelling tools and techniques that will enhance or improve funds’ performance and risk management of funds.
Understand in detail the market risk exposures of funds, and working with investment managers closely to provide robust market risk management, including detailed analysis of risk drivers, and positional transparency.
Production and monitoring of regulatory risk numbers.
Understand the liquidity risks that funds are exposed to, to ensure a robust liquidity risk management.
Build analytical tools required to ensure thorough analysis of funds’ risks, which may include using data analysis tools as python or R.
Contribute to build a robust framework and tools to carry out independent model validation of the risk models and risk numbers provided by the official risk engine.
Understand critical fund data sets and structures and be able to model them appropriate.
Quantitative Analysis experience within Asset Management / Fund Management / Investment Management
A highly numerate degree in mathematics, science, engineering or economics.
Very good knowledge of financial instruments (pricing models) and related data requirements in a multi asset context.
Particularly experienced with fundamental factor models (equity focus) and full valuation based risk analysis.
Proven programming skills in PL-SQL, R, VBA (Python – nice to have!)
Experience with business specifications and workflow documentation.
Experience with Bloomberg PORT, BarraOne (BDT/BDTi) and RiskManager would be optimal.
Track record in the implementation of factor based performance & risk attribution frameworks would be optimal.
Ability to work accurately and achieve operational goals under the pressure of tight deadlines.