Job: Quantitative Analyst - Counterparty Risk SME
Location: London, UK
Hybrid working
Start Date: ASAP / notice period accepted
Overview
Risk Analytics Group (RAG) is a specialized area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Credit Models and Initial Margin models. The team members have strong quantitative skills, and the team head reports to the local and international Chief Risk Officer.
Purpose
The successful candidate will be a member of the Counterparty Exposure Metrics sub-team of RAG. The team is responsible for the development and maintenance of the Potential Future Exposure (PFE) models that are used to measure Counterparty Exposure. These models are used for internal control limits and partly in economic capital calculations. The PFE covers Rates, FX, Credit, inflation, Equity and Bond Spreads, across derivatives, Repo and Securities lending transactions.
In addition to the main PFE model, the team also has responsibility for the SIMM model used for Initial Margin, and the simulation model used to measure risk on structured financing trades. The team also covers model validation for the front office xVA model and it enhancements.
The candidate will work closely with other team members in RAG, credit risk management, the IT development teams, risk model validators and Front Office. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports.
**Key responsibilities**
In this role, you will be responsible for counterparty risk modelling across our client’s banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you. You will:
Assist with risk model development and maintenance for our client's EMEA PFE project
Analyse systems and data and conclude on model and system choices as part of the project
Develop, maintain and improve counterparty exposure calibration and backtesting tools
Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses.
Specify and test system changes to implement improvements.
Improve existing operational controls around the exposure models and propose new ones to increase robustness.
Prepare model documentation and take it through model validation ahead of go live
Prepare summary reporting for working groups and committees that review model performance
Essential Requirements
Previous experience in pricing models
Previous experience in CVA or PFE models
Skills Requirements
Understanding of financial markets and products including derivatives
Understanding of counterparty exposure measures such as PFE, EE, CVA
Knowledge of principles of derivatives pricing
Knowledge of stochastic calculus
Familiarity with Python, R, Excel and VBA
Desirable
Experience in a risk-related role
Knowledge of advanced programming languages (C#, C++)
Education / Qualifications:
Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above
Ideal Personality Traits
Excellent communication skills with the ability to adjust to different audiences
Highly motivated and innovative, able to work on own initiative
Excellent accuracy and attention to detail with an analytical mind-set
Good team player with professional attitude
Good time management and ability to prioritise
Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer-term projects
Strong decision-making skills, the ability to demonstrate sound judgement
Strong problem-solving skills
Strong numerical skills
WHO WE ARE
Quanteam Group is a Consulting firm specialized in the Capital Markets industry, in Paris, London, Krakow, Brussels, New York and North Africa.
Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.
The firm mainly takes part in:
Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organizational Transformation & Process Improvement.
IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g C++, Python, C#, Java, VBA), Financial Software (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.
As part of Quanteam Group, Quanteam UK & PL has today more than 80 consultants, working for major Capital Markets institutions in London and Krakow.