Risk Quantitative Analyst - FRTB Project

For a major Japanese Investment Bank , Quanteam UK is looking to on board a Risk Quantitative Analyst, who would join the Risk Analytics department. 

 

THE TEAM

 

The team is responsible for the advanced models that are used to calculate Market Risk via VAR, sVAR, IRC and RNIV – these models are used for internal control and are regulatory approved by the PRA (IMA approved models). The VAR model covers a wide set asset classes includes Rates, FX, Credit, inflation, and Equity. 

In addition to the IMA models the team supports models of portfolio default that are used to support Economic Capital calculations.

 

The client is looking for an experienced consultant to work closely with other team members, market risk team within risk, the IT development teams, risk model validators. The successful consultant will work in an inclusive and proactive way. This role is to assist evolving the VAR approach to be FRTB ready and in addition assist with quantitative tasks within FRTB project including the validation of results from the FRTB standardised calculations.



KEY RESPONSIBILITIES

 

The Consultant will be responsible for analytics tasks across MUFG’s banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.

 

  • Support analysis of FRTB advanced method

  • PLA attribution tests help review data and suggest remediation

  • Support capital estimates of the ES component

  • Support capital estimates of the NMRF component

  • Support checking of FRTB standardised results

  • Other quantitative tasks and analysis as required to support project

 

 

Skills & Requirements: 

 

Functional / Technical Competencies:

  • Financial math knowledge eg Msc

  • Some knowledge of VBA/Excel

  • Python knowledge - Beneficial

 

Work Experience:

  • Financial institution experience

  • Works as quantitative analyst

 

Education / Qualifications:

  • Degree in quantitative subject eg Maths,Phyics,Statitics

 

Personal requirements

  • Excellent communication skills

  • Results driven, with a strong sense of accountability

  • A proactive, motivated approach.

  • The ability to operate with urgency and prioritise work accordingly

  • Strong decision making skills, the ability to demonstrate sound judgement

  • A structured and logical approach to work

Download this description in a PDF format.

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