Enterprise Market Risk Quantitative Analyst (IRRBB & CSRBB), AVP
London, England, United Kingdom
GBP 95K-115K (estimate) Executive-level Full Time
Tasks
- Analyze behavioural assumptions and scenario impacts
- Collaborate with treasury and model risk management teams
- Communicate technical results to non-technical stakeholders
- Conduct results attribution
- Create technical documentation for model assumptions and limitations
- Diagnose model configuration and data issues
- Enhance IRRBB CSRBB models
- Enhance risk factor modelling scenario design and stress testing
- Perform IRRBB CSRBB analytics and sensitivities
- Perform cross book market risk analytics
- Prepare analysis for model risk review and governance committees
- Support market data analysis curve construction and spread analytics
- Support model risk management and internal audit responses
Perks/Benefits
- Employee networks
- Flexible work/life support
- Inclusive development opportunities
- Paid volunteer days
Skills/Tech-stack
ALM | CSRBB | Credit Spread Risk | Credit Spread Risk in the Banking Book | Credit spread | Curve construction | Data Analysis | Derivative pricing | Eve | Factor modeling | IRRBB | Interest Rate | Interest Rate Risk | Interest Rate Risk in the Banking Book | Market Risk | Model Risk Management | Model Validation | Model risk | NII | Python | Quantitative Risk Management | Quantitative risk | R | Risk Management | Risk factor modeling | Scenario Analysis | Sensitivity Analysis | Stress Testing
Education
Roles
Analyst | Market Risk Analyst | Quantitative Analyst | Risk Analyst
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