Equity Market Risk Quantitative Analyst

1 month ago


Greater London, United Kingdom Jefferies Full time

Risk Analytics – Equity market risk quantitative analyst

  • 6 Months contract - strong possibility of extension
  • Financial Services/Banking/Investment Banking experience essential
  • Strong experience with Market Risk modeling for equity derivatives products required



About:

Our client (a global investment bank) is seeking a quantitative analyst / risk modeler with 5 - 8 years of specific financial industry experience to join the Risk Analytics team. Focus of this position is on Market Risk modeling for equity derivatives products.


Responsibilities

  • Acting as the SME and liaising with front office, technology, and market risk managers to implement and maintain market risk models. Making key analytical decisions regarding market risk modelling for Equity derivatives positions traded in Europe.
  • Assessing appropriateness of the market risk model outputs by performing time series review and stationarity test, Basel traffic light backtesting and VaR breaches explanation, P&L attribution test, pricing model benchmark, and quantification of the materiality of any model limitations (e.g. RNIV).
  • Documenting model implementation details, tests, and findings for model validation to review, in accordance with Firm’s Model Risk Management policies and framework.



Qualifications

  • Strong background in market risk models and methodologies (e.g. time series analysis, VaR methodologies and backtesting), with 5 - 8 years of previous experience in a quantitative role at a financial institution.
  • Solid understanding of equity pricing models and exotic equity derivative products.
  • Strong programing skills and data handling skills in SQL and Python (ability to wrangle large data sets, implement statistical tests, and perform data analysis on test results).
  • Excellent communication and presentation skills (ability to engage in concise, effective discussions).
  • Excellent written skills (ability to produce well-structured technical model documentation).
  • Ability to work without significant direct supervision.
  • Previous experience of regulatory capital model & economic capital model is preferred.
  • Knowledge of Risk Metrics, Numerix and/or Bloomberg a plus.


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