Quantitative Market Risk Analyst
1 month ago
Inventum are pleased to be working with an SME investment bank who are looking for experienced market and credit risk analyst with a focus within the quants space to join them on a permanent basis.
Market Risk Analysis
- Develop and implement market risk models, tools, and dashboards to improve risk monitoring and reporting.
- Analyse market risk exposures across various 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’.
- Work with trading desks to assess risk-taking activities and prepare and monitor performance against desk mandates.
Credit Risk Analysis
- Evaluate creditworthiness of counterparties and borrowers, conducting thorough analysis of financial statements, credit ratings, and economic factors.
- Determine appropriate limits for various trade types with regards to 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 effect 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
- Participating in annual Internal Capital Adequacy and Risk Assessment (ICARA) Contributing to stress testing within the assessment
- Updating and being 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 (such as finance, compliance, audit, and operations) 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:
- 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 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)
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