Quantitative Analyst / Developer - 6 month contract - London
SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods. The team sits within Enterprise Risk Architecture (ERA), which is part of the Risk Function of the group. The RISK Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. Our well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation.
Within ERA, SIGMA's mission is to develop and continually improve the group's risk modelling & measurement, analysis and back-testing capabilities. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), supported by two architects responsible for ensuring consistency across methodological research and development activities.
The team's remit includes all the IMM models in use within the Bank, such as VaR / ES, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space.
Job Summary & Responsibilities
The principle requirement of the role is to carry out quantitative analysis of potential market risk model changes proposed in the context of the Fundamental Review of the Trading Book (FRTB) and related regulation. Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Implementation in the joint Risk and Front Office (FO) Library, documentation and presentation of results are integral parts of the task. General understanding of the wider market risk modelling framework, in addition to strong C# and writing skills are thus required.
Accordingly, the role does require a solid quantitative background in market risk (preferred) or derivative pricing. Continuous interaction with other teams in RISK and FO will call for strong communication skills.
Working in close partnership with quantitative analysts within SIGMA, analysts with Risk Systems and FO quantitative teams, as well as other stakeholders in RISK and FO, the successful candidate will be expected to:
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.
Skills and experience required
Ideally you will have a strong academic background, with a Degree, Masters, PHD in mathematics, physics, quantitative finance or equivalent.
Strong Mathematics background.
Proven experience in a quantitative finance environment (market risk, counterparty risk or similar modelling capacity)
Practical knowledge of derivatives, their risk drivers and pricing models (Credit / Repo asset class);
Design, development and implementation of quantitative models, using C# or C++ in a source-controlled environment
Internal Number: 4835261
About Alexander Mann Solutions (Contingent)
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