Quantitative Analyst - Market Risk - Investment Banking

Quantitative Analyst - Market Risk - Investment Banking
Canary Wharf - 6 months

ERC Methodology Team

The ERC Methodology team is part of the Market Risk Management functional area, reporting to the Chief Risk Officer. The team is responsible for developing the methodology for most of the components of the bank's Economic Capital model and is accountable for: (1) creating a model which capture all risks across CS businesses; (2) making sure that the model adhere to internal and external expectations; (3) implementing the model in IT systems; (4) describing and documenting the model following internal and external standards; and (5) establishing policies and processes covering risks attached to the model. Currently consists of around 10 people located in London and Mumbai.

The team has an opportunity for an experienced Risk professional to lead the development of methodologies for ERC.

Duties and Responsibilities
* Play a central role in the development of a 'best in class' Economic Capital model
* Understand how the Economic Capital model is used in a leading financial institution
* Lead model developers, autonomously steer the methodology development, supervise the production of adequate model documentation
* Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture
* Research alternative methodologies, and compare them; justify and test the chosen option
* Ensure that models are adequately documented for both internal and external (eg regulatory) purposes
* Collaborate with IT analysts and developers to implement changes to the model
* Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications

SKILLS AND EXPERIENCE
* Experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR or Economic Capital experience is required
* Previous experience in leading methodology development projects and supervising quantitative analysts is necessary
* The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering.
* A higher degree in one of those areas or in finance or a professional qualification eg CFA, FRM, PRIMA would be an advantage
* General knowledge of risk issues and investment products, together with some programming skills would be also desirable
* Candidates are required to have programming experience, preferably using C#
* Experience in methodology documentation is highly valued
* Ability to work well in a team and building relationships
* Ability to produce high quality, accurate work, under pressure and to tight deadlines
* Willingness to question and challenge the status quo and ability to provide alternative approaches

Hy-phen Limited is acting as an Employment Business in relation to this vacancy.

The Adecco Group UK & Ireland is an Equal Opportunities Employer.