Analyst, Quantitative Analyst - Risk Analytics Group
London Ropemaker place, United Kingdom
GBP 60K-70K (estimate) Senior-level Full Time
Tasks
- Analyze model performance test results
- Calculate initial margin
- Calibrate and backtest PFE models
- Develop SIMM analytics library package
- Develop and maintain counterparty exposure models
- Improve operational controls for model robustness
- Maintain SIMM model risk calculation specifications
- Prepare model oversight and regulatory reporting
- Review stress exposure metrics
- Run model performance tests
- Specify and test system changes for model improvements
- Support legal and operations in counterparty relationship management
- Support pre-trade PFE analytics
- Test risk output for new products
Perks/Benefits
Skills/Tech-stack
Backtesting | Calibration | Counterparty Exposure | Credit Valuation Adjustment | Credit valuation | Derivatives | Derivatives pricing | Excel | FRTB ASA | Financial markets | Fundamental Review of the Trading Book | ISDA SIMM | Initial Margin | Model Validation | Potential Future Exposure | Python | R | Risk Modeling | Standardised Approach | Stochastic Calculus | Stress Testing | Trading Book | VBA | Valuation Adjustment
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
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