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Risk Quantitative Analyst

Employer
Hydrogen Group
Location
London, UK
Salary
Competitive
Closing date
Aug 23, 2019

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Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Risk Quantitative Analyst up to £950/day 9 month contract London What does this role holder do? (Accountabilities) § Develop new risk models and maintain/enhance existing models used for market risk and counterparty credit risk measurements. Particularly, to accommodate new requirements from the new RFR. § Ensure the models meet new business and regulatory requirements. § Take part in prototyping, performance testing and backtesting of models using Python or other programming languages. § Liaise with front office quants, traders, market/credit risk managers, model validation quants, business analysts and developers to provide guidance on models, implementation, and associated risks. § Produce formal methodology documents and take them through model review, committee approval, etc. What are the skills, knowledge and experience needed to do the role? § Experience of modelling dynamics of risk factors (across several asset classes, in particular, IR/FX/Credit) and collateral in a market or counterparty credit risk context. § Familiarity with concepts such as HPL, RTPL, PFE/EPE, CVA, and CSA. § A degree in a highly numerate subject (e.g. maths, physics, engineering); a post-graduate research-based degree is an advantage. Strong mathematical skills: probability, statistics, numerical methods § Excellent problem solving and analytical skills; ability to identify key issues in a complex system. § Good communication, documentation, and inter-personal skills; fluent in English. § Strong programming skills (e.g. Python, C#). § Ability to work to tight deadlines and under pressure. § Ability to clearly communicate quantitative concepts to other stakeholders and committees. § Confident, self-motivated and good team worker.

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