Quantitative Analyst

£850 per day | London | Contract
Posted 13 days ago

Responsibilities

As part of a small team the role will be to help with the development and implementation of risk model changes to accommodate for new products. The Risk model framework covers mainly market risk on all risk factors of the European and American / index and single name CDS products as well as Credit Index Options, from usual price moves to jump to default risk and liquidity issues. The individual will be involved in enhancing the existing risk model; recommend methodology changes based on quantitative analysis; write business requirements and design corresponding unit test cases for the risk changes; and provide general support to the test team for risk related issues.

Risk model methodology changes

* Propose innovative and workable solutions to cover against market risk and product specific risks.
* Develop quickly and reliably prototypes to assess the behaviour of a new methodology on a range of sample portfolios and recommend changes.
* Present and document the recommended changes in methodology in a clear and concise manner.

Risk model changes IT implementation

* Write business requirement documents which specify the changes to be brought to the risk calculations, accompanied by a suite of relevant test cases.
* Liaise with the other teams to explain the margin changes and help them investigate suspicious end to end test results.

Case studies

* Analyse risk measures on portfolios to explain the risk profile / variations of risk profile of portfolios on an ad-hoc basis.

Required Skills and Experience

* Master's degree (or equivalent) of a computer science or mathematical bias;
* Experience in a risk management environment within an investment bank or similar;
* Advanced Excel user / VBA Macros, and R;
* Exposure to object programming such a C++ or Java would be appreciated;
* Knowledge of Credit Derivatives product and pricing;
* Strong analytical, numerical and problem solving skills, with good attention to details;

* Good communication skills, both oral and written;
* Proactivity;
* Ability to work alone or as part of a team.

InterQuest Group is acting as an employment agency for this vacancy. InterQuest Group is an equal opportunities employer and we welcome applications from all suitably qualified persons regardless of age, disability, gender, religion/belief, race, marriage, civil partnership, pregnancy, maternity, sex or sexual orientation. Please make us aware if you require any reasonable adjustments throughout the recruitment process.

For more information about this role, please contact:

Luke Nash

lnash@albanybeck.com
0207 258 2384

See Luke Nash's jobs
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