about the role
Senior Quantitative Analyst Consultant
About the role
You will be a Quantitative Analyst within the London based team working with our existing team of modelling, pricing and traded risk specialists as well as our offshore delivery centre. The role will offer you the opportunity to work in a fast paced business alongside a team which has grown significantly over the last 4 years and continues to grow in terms of size, revenue and areas of work.
Key responsibilities will include:
- Working with our top tier banking clients to deliver large model, market and counterparty credit risk engagements supported by our global platform.
- Leading in areas of business development, practice development and strategy within the traded risk sphere - due to the high growth nature of the business this will be a key component of the role.
- Providing expert assistance for the teams testing of clients financial instrument valuations, across a wide range of instrument types and product classes, including valuation adjustments.
- Building and/or reviewing internal pricing models for exotic instruments in our library, or other platforms and help the team with on-boarding third party provided models.
On model risk engagements at clients you will take a lead in:
- Assisting clients across the entire model lifecycle (design, implementation, testing, documentation, validation and review) on different projects
- Examining conceptual soundness; reviewing and challenging underlying assumptions, theory, data and limitations of the models.
- Writing detailed, structured and clear model documentation for 1st and 2nd line client projects.
- Performing assessment of model governance, validation policies and control processes and advising best practice approaches.
Desirable skills and experience
A PhD in engineering, physics, maths, quantitative finance or an allied field preferred, MSc also considered.
- Excellent communication skills and the ability to present complex issues in a clear and articulate way to a non-technical audience.
- Over five years experience in at least one of the below:
- A deep understanding of derivative pricing across asset classes including the related XVAs
- An understanding of Market Risk Modelling techniques and regulations, including VaR, Expected Shortfall, IMA and FRTB
- An understanding of Counterparty Credit Risk modelling techniques and regulations including IMM, SA-CCR, SA-CVA and CRD IV
- Theoretical understanding and hands on experience in developing and/or validating mathematical models
- Good understanding of model governance including development and validation documentation requirements
- Good working knowledge of C++ and Python
- Familiarity with source control, ideally GIT
- Strong people management and client relationship skills.
- Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.
- Ability to multi-task across multiple assignments, prioritise workloads and work under time pressure.