Quantitative Analyst - Expected Shortfall - FRTB - London, United Kingdom,


For this reputable investment bank we are looking for Quantitative Analysts with strong Market Risk Management and Validation experience to join a highly performing Market Risk Management (MRM) team.

Job Summary & Responsibilities

The principle requirement of the role is to (a) ensure existing Credit VaR Models function under FRTB (e.g. in an Expected Shortfall context); (b) identify and escalate possible rectification actions (such as data remediation); (c) carry out quantitative analysis of potential market risk model changes deemed essential under the new 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, with proven exposure to Credit / Repo products. 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.

Our requirements

To be successful in this role, the candidate should meet the following requirements:

  • A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
  • Proven experience in a quantitative finance environment, preferably in a market risk or similar modelling capacity (knowledge of asset simulation and stochastic models is a must);
  • Exposure to Credit pricing functions & risk simulation methods;
  • Practical knowledge of derivatives, their risk drivers and pricing models;
  • Design and implementation of quantitative models, using C# or C++ in a source-controlled environment;
  • Ability to contribute and operate with low level of supervision.