Quant, Fixed Income – Traded Risk

Quant, Fixed Income – Traded Risk

My global banking client, based in London, is looking for an experienced Quant within Risk Analytics. The Quant will improve Fixed Income risk models spanning Market Risk, Margining Risk and Stress Testing for Global Traded Risk portfolios. The Quant will be responsible for supporting the development and maintenance of risk models and methodologies for more accurate traded risk measurement and management.

Key skills:

·         Understand pricing and risk management of Rates products

·         Good understanding of statistics

·         Python programming

·         Good understanding of market risk measures and derivative products

·         Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in risk management

·         Professional qualifications such as FRM/PRM/CFA Levels are an added plus

Responsibilities:

·         Develop/Enhance VaR, RNIV models in Rates and Credit as per internal risk and regulatory requirements especially in light of the IBOR transition programme

·         Contribute to the improvement of these models through assessment of impact, model validation, and helping document changes for internal and external use

·         Proactively build tools in Python to test the proposed models, to formulate requisiste analysis and to measure the impacts of model change

·         Be responsible for Model Life Cycle - starting from defining the objectives to model development/testing, model documentation, on-going model assessment and validation as well as internal & regulatory scrutiny

·         Assess and validate the performance of risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines.

·         The risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Hair-cuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB), Capital Models

·         Build python based prototypes and risk library

Please apply now for immediate consideration and further details.

Keywords: Quant, Fixed Income, Traded Risk, Risk Management, Python, Market Risk Measures, Risk Models, Rates, Risk Analytics, Banking, Bank.  

Scot Lewis Associates Ltd is acting as an employment business.