Quantitative Market Risk Analyst

6 days ago


London, UK, United Kingdom Inventum Group Full time

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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