Quant Analyst x2 Market Risk & Counterparty Credit Risk - Modelling Pricing C++/C# - Investment Bank

Two Quant analysts are required 1 with Counterparty Credit risk, and back-testing; the other with Market Risk ideally FRTB. Plus experience of design and implementation of quantitative models, using C# or C++ in a source-controlled environment. These are much more of a quant analyst role, than a developer role, but you will need to be able to turn your hand to come C++ or C# development for model implementation.

Role 1 Counterparty Credit Risk CCR - Proven experience in a quant finance environment, preferably in a counterparty risk modelling capacity, (knowledge of asset simulation and stochastic models is a must); Exposure to backtesting best practise in the context of counterparty risk; Practical knowledge of derivatives, their risk drivers and pricing models;

Role 2 Market Risk - Proven experience in a quantitative finance environment, preferably in a market risk modelling capacity (knowledge of asset simulation and stochastic models is a must; whilst not mandatory, previous exposure to FRTB frameworks would be highly preferred). Good grasp of the FRTB regulatory framework and its implications on the bank's operations (Stressed ES calculations, NMRF, P&L attribution, etc.).

Both - Strong academic background, with minimum Masters in mathematics, physics or quantitative finance. Exposure to risk modelling Practical knowledge of derivatives, their risk drivers and pricing models for credit instruments.. Ability to contribute and operate with minimum level of supervision. This role will expose the candidate to a wide range of professionals within the bank. Accordingly s/he will also require good communication skills (both written and verbal) and the ability to work as part of a multi-disciplinary team.

Working in close partnership with quantitative analysts, risk analysts and Front Office research teams, the successful candidate will be expected to:

  • Contribute to the delivery of methodology projects, gathering and documenting requirements, considering all stakeholders' interest, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance and regulatory processes (eg back-testing, P&L attribution);
  • Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering regulatory, system or other environmental constraints;
  • Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment;
  • Ensure the methods are adequately documented to support internal reviews and validation by internal auditors or regulators

This is a contract role paying £750 - £1000 per day, please quote reference JSADL02738 when applying and send your cv to This email address is being protected from spambots. You need JavaScript enabled to view it.

Adlam Consulting operates as an Employment Agency & an Employment Business