Address
Form of work
SalaryRole Title: Quantitative Analyst
Duration: 9 Months
Location: London/Hybrid (2-3 days on site)
Rate: 620/d - Umbrella only
Would you like to join a global leader in consulting, technology services and digital transformation?
Our client is at the forefront of innovation to address the entire breadth of opportunities in the evolving world of cloud, digital and platforms.
Role purpose / summary
Assess and validate the performance of risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed timelines.
Key Skills/ requirements
- The risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Incremental Risk Charge (IRC), Hair-cuts, EEP, Stress Testing, Fundamental Review of Trading Book (FRTB), Capital Models
- Build python-based prototypes and risk library.
- Participate in adhoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion.
- Suggest improvements to the existing frameworks with a view to automate systems and help implement agreed changes.
- Identify areas for efficiency improvements, automation, and enhanced controls in existing processes. Document proposed changes and agree with the on-shore process team prior to implementation.
- Document all process changes and improvements to reflect the latest process.
- Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes
All profiles will be reviewed against the required skills and experience. Due to the high number of applications, we will only be able to respond to successful applicants in the first instance. We thank you for your interest and the time taken to apply!
