Quantitative Risk Analyst

Location
London
Salary
Up to £85,000 per annum (depending on experience)
Posted
15 Sep 2020
Closes
15 Oct 2020
Ref
QRA1
Employer Sector
Financial Services
Contract Type
Permanent
Hours
Full Time
Travel
None

The Audit and Risk Recruitment Company (ARRC)* have been mandated by our client, a leading commodities broker, to assist in their search for a Quantitative Risk Analyst. My client has a fantastic reputation for providing an exciting and collegiate environment in which to work.

This is a high profile position where you will be responsible for researching developing risk models, and pricing. You will work closely with the members of the Quantitative Risk team to provide appropriate expert knowledge and technical skills on the financial risk/price modelling and methodology enhancements for the various financial risk types (market, credit and liquidity) and ensure ongoing compliance, monitoring and enhancements of performance of models and methodologies used to implement risk policies.

Responsibilities:

  • Maintain and update the models managed/developed by the Quant Risk team for the wider Risk Department.
  • Review and improve the existing risk/pricing models or methodologies.
  • Design and develop testing strategies to back test and stress test models and to validate on-going performance of pricing and risk calculation models.
  • Research potential ways of enhancing current models/methodologies, or new models/methodologies that could be implemented.
  • Assist in model design and development together with the rest of the Quantitative Risk team.
  • Assist in preparing papers on model changes/reviews or other specific issues for Risk Committee and Executive Committee presentation.
  • Liaise with independent specialists, regulators, external and internal stakeholders to ensure models are understood within wider risk management framework.
  • Involvement in wider risk projects and further deliverables as required.
  • Provide ongoing support to the overall quantitative risk team as required.

Academic and Professional Qualifications desired:

  • Master’s degree or equivalent in quantitative finance, mathematics, economics or related discipline.
  • Professional risk qualification (or studying towards) would be beneficial (e.g. CFA).
  • STEM background (Phd)

Required Knowledge and Level of Experience:

  • Candidate should have good level of overall experience of model development and a strong background in mathematics and risk/price modelling:
  • Experience in relevant fields such as model validation will also be considered.
  • Some experience doing Quantitative Research would be desirable.
  • Commodity markets and its related derivatives market/instruments.
  • Mechanics and processes behind clearing house risk management.
  • Detailed understanding about risk models used in a clearing house such as SPAN, VaR, etc.
  • Appreciation of the regulatory environment clearing houses are operating in and its requirements on risk management as whole.
  • Market, credit, collateral or liquidity risk management principles, such as back testing and stress testing, and valuation of products.

Skills set and Core Competencies Required for Role:

  • Risk/Price modelling skills using Python or a similar object oriented programming language (Matlab, C++, R, etc.) as well as advanced risk/price modelling skills using Office suite (VBA+Excel+Access)
  • Advanced understanding of the financial mathematics and techniques that are relevant to the derivatives markets

Personal Qualities:

  • Ability to act as part of a small team and also autonomously upon own initiative as required.
  • Ability to influence people and drive decisions.
  • Strong attention to detail
  • Quick learner but willing to ask questions if unsure
  • Good communicator, negotiator and organiser, sympathetic to overall work demands within department
  • Focus and determination to deliver against deadlines
  • Able to work as individual but liaise effectively with other department or group stakeholders

*The Audit and Risk Recruitment Company – Experts in Audit and Risk!

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