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Job Description:
Job Title:Quantitative Finance Analyst
Corporate Title:Vice President
Global Markets Risk Analytics (GMRA) is part of Global Risk Analytics (GRA). It responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets.
Role Description:
Responsible for independently conducting quantitative analytics and modelling projects. Responsible for developing new models, analytic processes or systems approaches. Creates documentation for all activities and works with Technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products.
Responsibilities:
As a Quantitative Finance Analyst on Market Risk Analytics team, your responsibilities will involve:
Develop quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation
Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements
Conduct analysis and verification on market data, risk metrics and P&L time series
Prepare developmental evidence and document to support internal and external exams
Perform analysis for VaR/RNiV model development, documentations/submissions and aid in addressing required action items raised by model risk management, issues from regulators, audit and model performance tests
Perform statistical analysis on market historical data and model parameters
Develop and support benchmarking and backtesting. Identify, analyse, explain any overages
Identify common themes across global markets along with improvement initiatives
Communicate the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
Support model development in confirming remediation of model issues prior to their being taken live
What we are looking for:
Master's degree or PhD required (preferably background in Mathematics, Financial Mathematics/Engineering, Quantitative Finance, Statistics, Econometrics, Physics, computer science, or equivalent) and 3+ years’ experience
Working knowledge of risk or pricing models for fixed income or commodity products
Understanding of regulatory capital and risk management framework and stress testing requirement
Solid working experience in a related field (Market Risk, Middle Office)
Broad financial product knowledge
Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming) to write reusable and testable code to develop tools and improve process efficiency for reporting and calculation automation
Experience in data analysis, with excellent research and analytical skills
Pro-active behaviour with capacity to seize initiative
Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions
Ability to multitask with excellent time management skills
Skills that will help:
Past experience in IBOR transition / FRTB is a plus
UK
Private healthcare for you and your family plus an annual health screen to help you manage your physical wellness with the option to purchase a screen for your partner
Competitive pension plan, life assurance and group income protection cover if you become unable to work as a result of a disability or health reasons
20 days of back-up childcare including access to school holiday clubs and 20 days of back-up adult care per annum
The ability to change your core benefits as well as the option of selecting a variety of flexible benefits to suit your personal circumstances including access to a wellbeing account, travel insurance, critical illness etc.
Access to an emotional wellbeing helpline, mental health first aiders and virtual GP services.
Access to an Employee Assistance Program for confidential support and help for everyday matters
Ability to donate to charities of your choice directly through payroll and the bank will match your contribution
Opportunity to access our Arts & Culture corporate membership program and receive discounted entry to some of the UK’s most iconic cultural institutions and exhibitions.
Opportunity to give back to your community, develop new skills and work with new groups of people by volunteering in your local community.
We strive to ensure that our recruitment processes are accessible for all candidates and encourage any candidates to tell us about any adjustment requirements.
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