A worldwide well known tier 1 bank is looking to add a Quant Analyst to their valuation analytics stress testing team. Below are details about the role and the specification for the ideal candidate:
Principal accountabilities:
Key activities and decision making areas
- Liaising with valuation analytics stress test team.
- Development/enhancement of stress testing methodologies and infrastructure within fair value adjustments space.
- Understanding and interpreting regulatory stress test requirements/scenarios and ensuring our models and methodologies are compliant.
- Producing stress estimates of major fair value adjustments during regulatory stress testing exercises.
- Perform in-depth analysis in CVA, funding VA and other fair value adjustments stress results – leverage from portfolio/trade risks and identify/explain key impact drivers and risk concentration.
- Partake in management presentations.
- Participate and present in regular stakeholder (product control, development team, market risk, front office) catch up sessions to keep up to date with ongoing projects and deliverables.
- Work with central stress test teams to ensure smooth communications between risk, finance and other stakeholders.
Education & experience:
- University degree (Class 2:1 or equivalent).
- Masters or PhD degree in quantitative finance or in a numerical subject (Maths, Physics).
Skills and competencies:
- Strong analytical and problem solving skills.
- Excellent communication skills and interpersonal skills.
- Attention to detail and consideration of timelines.
- Knowledge of financial products: rates derivatives, FX derivatives, CDS.
- Working knowledge of SQL, RStudio and C++ programming.
- XVA, other fair value adjustments and associated sensitivity is an advantage.
- Prior experience in regulatory stress tests – understanding of BoE stress testing requirements and guidelines is a plus.
- 2/3 years of working experience is preferred but we will consider shorter experience depending on background.
If you are interested in this role please apply below or contact me for more information.
