Market Risk Quantitative Analyst - Python

  • Locatie

    London, England

  • Sector:

    Banken & Financial Services

  • Soort contract:

    Contract

  • Salaris:

    Negotiable

  • Contact:

    Phoebe Cheung

  • Email:

    phoebecheung@taylorroot.com

  • Job ref:

    PCH - Quant Risk_1582818083

  • Gepubliceerd:

    9 maanden geleden

  • Termijn:

    2020-03-26

  • Consultant:

    #

My client, a Top Tier Global Bank is looking for Market Risk Quantitative Analysts based in London. These are PAYE day rate contract.

Responsibilities:

  • Methodology development, analysis and prototyping for the key metrics in the Internal Models Approach (IMA) namely Expected Shortfall (ES) and Non Modellable Risk Factors (NMRF) as part of the FRTB Programme and specifically related to the semi-annual QIS. Key requirements and deliverables are expected to include the following;
  • IMA - Expected Shortfall (ES)
    Key Requirements: Methodology development, Analysis and Prototyping (in Python).

    Deliverables:
    - Prototype build and analysis
    - Signed off GRA methodology document including traceability
  • IMA- Non Modellable Risk Factors (NMRF)

Key Requirements: Methodology development, analysis and prototyping. Source trades to model vol surfaces, Expand modellability testing prototype to Include ATM vols & skew/smile (for EQ, IR, FX), Include changes in final rules into prototype


Market Data; Optimise split of modellable vs non-modellable (basis) risk factors, scenario Standardisation, Enhance prototype to test different configurations

Deliverable:

- Manage QIS from GRA perspective, both methodology (RFET, ES, NMRF, PLAT) and prototyping

- Provide visibility on QIS results to FO, Business, Capital Mgmt team and help them understand the underlying drivers of these results

- Drive changes to be made to the QIS framework based on the ongoing FRTB model development; Do analysis and coding of the QIS prototype framework

- Interact with various teams across different locations and manage stakeholders

Requirements:

  • Proven experience successfully collaborating with others in a change driven environment, particularly technology, internal controls and project management teams.
  • Ability to investigate and explain large IT platforms with little documentation, and to replicate them at prototype level.
  • Clear and demonstrable familiarity with key Traded Risk measures.
  • Experience with software build systems and version control
  • Open personality and effective communication skills, ability and flexibility to work in an international team
  • Ability to write clear and understandable technical documents
  • Strong programming skills in Python. Knowledge of Matlab and / or R is a plus although not a prerequisite
  • Knowledge of Anaconda Python distribution, community or enterprise version, both from client as well as server end
  • Experience with development tools including version control (Git, GitHub) and issue trackers (JIRA). Demonstrable experience of working using agile approach is a plus

For more details, please send your CV to phoebecheung@taylorroot.com

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