Quant Analyst/Developer - C++ or C# - FRTB - INVESTMENT BANK
Quant analyst, to work on model changes in context of the FRTB. Good development skills required ideally C++ or C#. Project is around data proxies and statistical analyses, and you will be developing/supporting development of proxies and testing of existing proxies against these methodologies.
A strong academic background, with at minimal Masters in mathematics, physics or quantitative finance mandatory; proven experience in a quantitative finance environment, preferably in a market risk modelling capacity (knowledge of asset simulation and stochastic models is a must; ideally with exposure to FRTB frameworks. Practical knowledge of derivatives, their risk drivers and pricing models
Exposure to one of the following asset classes: credit, repo, IRFX, equity, commodities; Design and implementation of quantitative models, using C# or C++ in a source-controlled environment; Ability to contribute and operate with minimum level of supervision.
The principle requirement of the role is to carry out quantitative analysis of potential market risk model changes proposed in the context of the Fundamental Review of the Trading Book (FRTB) and related regulation. Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Implementation in the joint Risk and Front Office (FO) Library, documentation and presentation of results are integral parts of the task. General understanding of the wider market risk modelling framework, in addition to strong C# and writing skills are thus required.
Accordingly, the role does require a solid quantitative background in market risk (preferred) or derivative pricing. Continuous interaction with other teams in RISK and FO will call for strong communication skills.
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