FRTB Market Risk Analytics Quant, AVP

Competitive
Permanent
London
01 May 2019
BBBH724508

Our client is seeking an AVP level Quant Analyst as part of their expanding Risk Analytics function.

Analytics function performs quantitative analysis based on comprehensive members and market data, which is instrumental to the maintenance and management of the the FRTB SA Implementation, and the development of evidence based Risk, Capital and margin advocacy. The function reinforces our clients credibility with Regulators and is key to achieving substantive changes to proposed rulemakings.

The Role

The role involves being an active member of the Analytics team and ensure the Analytics function fulfils its goals and objectives. It includes providing relevant analysis in a timely fashion, primarily to ensure successful FRTB SA Implementation.

Specific Responsibilities of the role:

  • Play an active role in-house analytics capabilities to provide relevant analysis instrumental to the implementation of the FRTB SA. This includes analysis supporting the ongoing FRTB SA Implementation initiative: unit testing and benchmarking:
  • Maintain and optimize the existing ISDA FRTB SA engine
  • Interact with participating banks to test, discuss and align Unit Test results
  • Play a key role in coordinating the FRTB SA Benchmarking process by collecting and organizing results from each bank, aggregating these and explaining the sources of differences.
  • Actively interact with other team members and colleagues, coordinate responses to members, and optimize the quality and efficiency of the Analytics function
  • Ensure ongoing review of the safety and confidentiality of collected data, processes, and analysis results

Required Skills and Knowledge

  • Full command of derivatives markets and global regulatory capital frameworks. In particular, extensive knowledge of the FRTB SA, and knowledge of bank's Capital frameworks. Excellent analytical and quantitative skills
  • Advanced coding skills in Python.
  • A self-starter who is strongly motivated, proactive, exercises effective judgment and able to develop the Analytics function's as well as own capabilities

Desired Experience and Education

  • Relevant experience in comparably complex technical roles, proven ability to conduct complex quantitative analyses and present results to diverse audiences
  • Relevant experience in derivatives risk management and financial regulation. Experience in derivatives trading, risk or structuring at a global bank is highly desirable.
  • Qualifications in quantitative finance are required to at least Masters level, or the equivalent professional qualification.

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.

Alex Riedl's picture
Senior Consultant | Risk Management Recruitment
London + 44 20 7092 0103 | ariedl@morganmckinley.co.uk