Market Risk Trim Quant Analyst

7 days ago


London, United Kingdom eFinancial Careers Full time

Job description Lunalogic UK is looking for an experienced Marlet Risk Quant analyst to contribute to ensuring the bank complies with regulatory requirements on IMA (Internal Model Approach) models for market risk. Specifically the role will entail performingthe necessary research and deliver the developmental evidence in order to assess model risk around market risk capital measures, such as the Incremental Risk Charge Measure (IRC) and the Comprehensive Risk Measure
- Contribute to the delivery of the methodology projects, gathering and documenting requirements, considering all stakeholders' interest, regulatory requirements and any potential deficiencies in the current methods exposed by quality assurance;
- Investigate, analyse and design risk methods to measure model performance and model risk
- 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 risk 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 externalmethodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation teams.
- 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 modelling capacity;
- Design and implementation of quantitative models, using C# or C++ in a source controlled environment;
- Knowledge of credit risk models (such as Incremental Risk Charge, Comprehensive Risk Measure and Default Risk Charge) and exposure to market risk methodologies will be favoured.


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