Analyst, Quantitative Risk Analytics
Tasks
- Assess impact of risk methodology model and policy changes
- Calibrate liquidity haircuts and exposure models
- Develop quantitative risk models and methodologies
- Estimate risk factor parameters and run backtesting
- Execute ICF testing and perimeter reconciliation
- Generate scenarios and compute sensitivities
- Implement quantitative pricing libraries
- Interpret risk analysis results
- Maintain reporting layer and quantitative risk engine analytics library
- Perform configuration updates and release testing
- Perform market liquidity and credit risk operational processes
- Produce credit market or other risk measures
- Produce daily risk batch and resolve discrepancies
- Provide pre trading structuring and portfolio what if analysis
- Remediate data and system integrity issues under internal control framework
- Run mark to market reconciliation controls
- Run risk aggregation and PD LGD modelling
- Update documentation and implementation for analytics library
Perks/Benefits
Skills/Tech-stack
Agile Development | Backtesting | Bloomberg | C++ | Data integration | DevOps | Development Lifecycle | Economic Capital | Git | LGD Modelling | Liquidity Haircut Calibration | Mark to Market Reconciliation | Mark to market | Market Data | Market data integration | Market reconciliation | Mathematical Finance | Numerical Methods | PD Modelling | PFE | Probability | Python | Quantitative Risk Analytics | Quantitative risk | Risk Analytics | Risk Reporting | Risk aggregation | Software Development Lifecycle | Software development | Statistics | Stochastic modelling | Stress Testing | Testing | VAR | Version control | XVA
Education
Associate Degree | Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
Roles
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