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Quantitative Analyst - Banking - London

Job Title: Quantitative Analyst - Banking - London
Contract Type: Permanent
Location: London, England
Industry: financial services
Salary: £60000 - £75000 per annum
REF: BBBH17725_1522343538
Contact Name: Charlotte Emms
Job Published: 25 days ago

Job Description

Twenty Financial Services are currently recruiting for a Quantitative Analyst for a Global Bank in London

The role will be sitting in the Stress Testing function for Product Control, within the Valuation Analytics department, supporting the front office and trading teams. The person hired will be ensuring derivatives pricing is effective and will be contributing to the development of a robust framework (C++) which distributes quantitative solutions across all Global Markets locations

Responsibilities

  • Development and improvement of stress testing methodologies
  • Interpreting regulatory stress test requirements and scenarios and ensuring models and processes are compliant
  • Producing stress estimates of Fair Value Adjustments during regulatory stress testing methodologies
  • Performing analysis in CVA, Funding VA and other Fair Value Adjustments stress results; - leverage from trade risks and ascertain major impact drivers and risk concentration
  • Challenge and present in regular stakeholder presentations and check in sessions, working with Product Control, Development team, Market Risk and Front Office
  • Ensure that procedures are managed in adherence to Group Market Risk guidelines

Skills

  • Degree in a quantitative discipline: PhD or MSc is highly desired
  • Knowledge of Rates and FX derivatives and CDS
  • Programming skills in C++ or R (RStudio) and SQL
  • Experience with XVA and other Fair Value adjustments is desired
  • Regulatory Stress Tests experience (BoE requirements) is desired
  • Excellent analytical skills