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Job Overview

(Stress testing) Quantitative Risk Analyst

Location: London Salary: £Competitive
Type: Permanent Contact: Matthew Storey
Posted: 2 months ago

Responsibilities include (but not limited to):

  • Development/enhancement of quantitative methodologies for stress testing (e.g. current projects include developing new methodologies for CVA Wrong Way Risk under stress, modelling CVA on CCP counterparties, etc). Methodology development projects also include liaisons with other quantitative teams within the bank (e.g. Risk quants)
  • Ensure all model governance standards (including independent model review) are adhered to. 
  • Participate and add value to machine learning projects/initiatives within the PC Analytics area. Consistently look for new and improved quantitative methods and their applications to Stress Testing.
  • Understanding and interpreting Regulatory stress test requirements/scenarios and ensuring our models and methodologies are compliant.
  • Producing stress estimates of major Fair and Prudent Value Adjustments during regulatory stress testing exercises.
  • Perform in-depth analysis in CVA, Funding VA and other Valuation Adjustments stress results – leverage from portfolio/trade risks and identify/explain key impact drivers and risk concentration
  • Partake in management presentations and address regulatory examinations.
  • Ensure periodic monitoring of internal stress test estimates are performed and communicated to stakeholders

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, Python 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
  • 1 - 4 years of working experience is preferred but we will consider shorter experience depending on degrees

If you are interested in this role, please apply below or contact me for more information.