Market risk Analytics Quant AVP / VP

·
Full time
Job offered by: Morgan McKinley
Category:
Location: London

This the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within the bank. This mission requires that the team: Investigate, analyse and design methodologies respecting the aims of accurate capture of risk and ease of use and understanding by risk managers, whilst retaining consistency within the overall methodological and technical architecture and taking requirements gathered by the Risk Systems Business Analysis team into account. The ultimate solution must also be balanced with the cost of implementation and take account of the effect on system performance. Working in close cooperation with the business analysis teams, analyse the input data required for the methodology and ensure this data can be sourced and loaded into the system. Design, develop and test the (prototype or production) code required to implement the methodology in the risk systems, in cooperation with the Risk Systems teams. Design and implement the calibration and back testing methodologies and support the Risk Systems teams responsible for the corresponding production processes. Lead methodology projects, ensuring the requirements are met and facilitating good communication between risk analysts as well as Front Office research teams and other project stakeholders. Key responsibilities Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to taking responsibilities for the following: Contribute to methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes; Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other constraints; Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment; Contribute to the quality assurance processes surrounding risk measurement including back-testing, VaR Adequacy (P&L Explain) and model monitoring processes; cooperate with the risk model validation teams in the review and approval of risk models; Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS); In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate. Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the initiatives within the IRFX chapter of the division Requirements To be successful in this role, the candidate must meet the following requirements: A strong interest and knowledge of risk management best practises, financial markets and economic developments; A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance; Proven experience in a quantitative risk modelling capacity; A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations; Exposure to risk measurement and management, including market risk modelling, counterparty credit risk including collateral and initial margin models. Design and implementation of quantitative models, using C# or C++ in a source-controlled environment; Strong communication skills, both written and verbal; In addition, the candidate must have a track record of ability to: Work to tight deadlines; Work flexibly as part of multiple teams and autonomously; Grasp the intricacies of governance-related processes and procedures; Juggle changing priorities and a varied workload. Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred.

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