Market Risk Systems - Calculation & Analysis – Fixed Income & ALM
A Tier 1 Investment Bank is seeking an experienced Quantitative Risk Analyst at Associate level to join their expanding team in London. This team are responsible for the production of market risk and counterparty risk metrics across Fixed Income and ALM asset classes to the Risk Function. The role is focused on a broad range of risk quantification techniques, such as sensitivities at deal level, Value at Risk, other Capital Charge indicators, Stress testing, Reserves, Limits, Counterparty Risk; and their integration in a single market and counterparty risk system.
You will be involved in:
- Taking ownership of IRC production process.
- Providing deep analysis and explanation of impacts to IRC & Credit.
- Capturing business requirements coming from different stakeholders.
- Building close links with the risk analysts, the business, research and development about the definition and the integration of new types of risks or products or perimeters.
- Logging and investigating system issues related to batch runs and escalate to relevant teams if needed.
You will have the following experience:
- A Master’s degree in a quantitative discipline such as Finance, Engineering, IT or Mathematics
- You will have circa 2-4 years (likely experience based on the salary bracket) within a risk / business analysis capacity. Direct Counterparty risk or Market risk experience risk is a plus.
- A solid IT background with relevant experience in scripting (Python, VBA, SQL)
- Good knowledge of financial products. Sound understanding of financial modelling and risk models
- Knowledge of Capital charge computation on the Market Risk.
- Knowledge of the Credit VaR methodology, implementation and computation
- Understanding of market risks and Greeks: Delta, spread, credit spread, etc
If you have relevant experience and would like to review a full copy of the job spec and discuss this further, please apply including contact details.
RCQ Associates are a leading specialist recruiter focused purely on Risk, Credit analysis and Quantitative hiring within Financial Services.