Quantitative Risk Expert

4 weeks ago

London, Greater London, United Kingdom Inventum Group Full time

About the Role

We are seeking a highly skilled Quantitative Market Risk Analyst to join our team at Inventum Group. This is an exciting opportunity for someone with expertise in market and credit risk functions to work with our clients on a permanent basis.

About the Job

  • Develop and implement advanced market risk models, tools, and dashboards to enhance risk monitoring and reporting.
  • Analyse complex market risk exposures across various financial products including equities, fixed income, and derivatives.
  • Monitor daily, weekly, and monthly risk metrics to assess exposure levels and identify potential risks, including calculating value-at-risk (VaR).
  • Collaborate with trading desks to assess risk-taking activities and prepare and monitor performance against desk mandates.

Credit Risk Analysis

  • Evaluate the creditworthiness of counterparties and borrowers by conducting thorough analysis of financial statements, credit ratings, and economic factors.
  • Determine appropriate limits for various trade types regarding potential future exposure.
  • Monitor and analyse credit risk exposures and establish risk mitigation strategies where necessary.
  • Develop and maintain credit risk models to assess the likelihood of default, loss given default, and exposure at default and how macro-economic factors impact these metrics.
  • Conduct scenario stress tests on credit risk exposures, assessing the impact of economic downturns, sector-specific risks, and counterparty defaults.
  • Support the review of credit limits and ensure compliance with internal policies and regulatory requirements.
  • Present on counterparty credit assessment papers at Risk Committee.

Other Responsibilities

  • Participate in annual Internal Capital Adequacy and Risk Assessment (ICARA) and contribute to stress testing within the assessment.
  • Update and be responsible for key Risk Policies, specifically the Market Risk Policy, Stress Testing Policy, Credit Risk Policy, and Liquidity Risk policy.
  • Prepare regular risk reports, including qualitative and quantitative analysis, for senior management and stakeholders.
  • Stay informed about current market trends, regulatory changes, and economic developments that could impact credit and market risk.
  • Collaborate with cross-functional teams to strengthen risk management practices.
  • Participate in the development and enhancement of risk management frameworks, methodologies, and policies.
  • Support ad-hoc risk assessments and strategic initiatives within the risk management team.

Essential Qualifications

  • Proven experience in market and/or credit risk functions.
  • Strong understanding of market and credit risk metrics, methodologies, and regulatory standards.
  • Thorough understanding of quant analytics.

Technical Requirements

  • Knowledge of a broad range of financial products.
  • Knowledge of risks related to main types of products and instruments (equities, fixed income, stock loan, derivatives, etc.).
  • Thorough understanding of requirements for ICARA.
  • Proficiency in financial modelling, statistical analysis, and risk management tools (e.g., Python or similar).

Salary Range

The estimated salary for this role is $120,000 - $180,000 per annum, depending on experience and qualifications.

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