Economic Capital Analyst

A Top Tier Investment bank is currently going through a period of transformation and is recruiting within their Market Risk area.

This role sits within a project looking at VaR implementation, more specifically the development and implementation of these methodologies.

Main responsibilities:

-Working with Quants and the VaR change team to test Economic Capital methodologies
-Performing self led analysis into the pros and cons of methodology enhancements
-Review of model inputs and time series data
-Proactively developing solutions to negative aspects of model behaviour
-Detailed impact analysis and understanding the drivers for Economic Capital
-Ad-hoc analysis and presentations
-Training around new methodology implementations
-Supporting requests for information from regulators and Front Office

Person Profile

-Experience working in market risk
-Good understanding of VaR models; able to produce His-Sim VaR calculation from 1st Principles
-Working knowledge of Risk Sensitivities/Greeks
-Advanced Excel skills
-Strong analytical skills
-Detail orientated
-CFA/Masters level or similar qualification preferred
-Genuine interest in Risk Management

Due to the nature of this project you must possess:

-Demonstrable experience of His-Sim VaR calculation from 1st Principles
-Working knowledge of Risk Sensitivities/Greeks
-CFA/Masters level or similar qualification preferred
-Advanced Excel skills
-Detail orientated with Strong analytical skills
-Team player, good communication skills
-Genuine interest in Market Risk, VaR and Economic Capital methodology

Randstad Financial & Professional encourage applications from individuals of all ages & backgrounds. Appointment will be made on merit alone but candidates must be able to demonstrate their ability to work in the UK. Randstad Financial & Professional acts as an employment agency for permanent recruitment & an employment business for temporary recruitment as defined by the Conduct of Employment Agencies & Employment Business Regulations 2003.