Market Risk Analyst - Rates

Competitive
Permanent
City of London
05 Dec 2019
BBBH748568

Global investment bank seeks a Market Risk Analyst to focus on Interest Rate products.

This role is working within the Rates team in London and is reporting to the Head of Rates Trading in London

Main Duties and Responsibilities of Role:

  • Should be comfortable with all relevant sensitivities related to interest rate and inflation products.
  • Full knowledge of CSA OIS framework.
  • Act as a specialist within the team regarding pricing models in fixed income and interest rate derivatives (linear and range of option models).
  • Provide quantitative support within Rates in market development, methodologies, valuation and implementation to ensure the valuations/risks appropriately valued, managed and documented.
  • Ensure alignment/compliance with Group policies and procedures.
  • Provide quantitative support in developing risk models for regulatory projects and market developments, including Fundamental Review of the Trading Book and and IBOR transition
  • Be an active part of the risk management for Rates team deliverables, including involvement as necessary in the day to day interest rate trading risk and P&L reporting.
  • Perform quantitative analysis on market data and risk (such as VaR, Expected Shortfall, or sensitivity reports).
  • Write technical reports providing quantitative analysis and model documentation.
  • Support the development models and implementation, including liaising with Model Validation/Quants as well as IT.
  • Ensure the control environment, including SOx and necessary documentation is in place
  • Responsible for maintenance and implementation of policies and procedures.
  • Product development in conjunction with Front Office.
  • Support the junior team members to enhance their knowledge of products, risk and projects

Essential: A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering);

Essential: Excel, VBA, SQL.

Minimum 3 Years' of relevant experience (interest rate trading risk)

Desirable: Interest and knowledge of financial mathematics

Knowledge of quantitative software packages (Matlab, Mathematica) is a plus;

Familiarity with financial markets, including recent, most important developments;

Knowledge of Summit

Organised and detailed orientated

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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