Model Performance Quant Analyst VP (Bromley)

Competitive
Permanent
Bromley
02 Mar 2020
BBBH755039

Global investment bank seeks VP level Quant Analyst within their Model Performance division.

Here in our Bromley office we are looking to recruit a Quantitative Finance Analyst to join our Model Performance team within Risk Analytics. This team is responsible for monitoring and assessing the performance of all risk models used across Global Markets - delivering forward-looking insight to risk management based on integrated portfolio, market and internal model analysis.

Business Unit Overview:
The team is responsible for developing a consistent and coherent set of models and analytical tools that facilitate effective Risk and Capital measurement, management and reporting across the firm. It partners with the lines of business and enterprise functions to ensure that the models and analytics address both internal and regulatory requirements and are responsible for ensuring that models are appropriately documented to meet the requirements of the Model Risk Policy.

Also works closely with the technology organization to deliver the next generation of tools and models within the Bank's strategic infrastructure. The team pro-actively identify areas across Risk and Capital that would benefit from additional quantitative focus.

Responsibilities:
Performing in-depth analysis on the bank's market risk model results using various quantitative tools such as back testing, benchmarking, sensitivity analysis.
Quantifying the impact of model limitations both in terms of firm level capital and name level exposure.
From this analysis, pulling together the overall holistic picture of model performance along with clear conclusions on overall accuracy and remediation areas as required.
Identifying common themes across global markets along with improvement initiatives.
Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators.
Supporting model development in confirming remediation of model issues prior to their being taken live.
Driving incremental improvement to our model performance assessment toolset across all business areas.

Core Skills:
Master degree or above (or equivalent), preferably in quantitative finance or a quantitative field or relevant experience.
Solid working experience in a related field (Market Risk, Middle Office Risk, Counterparty Credit Risk).
Broad financial product knowledge.
Experience in data analysis, with excellent research and analytical skills.
Excellent programming skills (Python, C++, SQL, or equivalent object-oriented programming).
Pro-active behaviour with capacity to take initiative.
Good written and oral communication, interpersonal and organisational skills and ability to build and maintain relationships with personnel across areas and regions.
Ability to multitask with excellent time management skills.
Sense of focus and rigor in the completion of deliverables.

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.

Similar Jobs

Global investment bank seeks Associate level Quant as part of their expanding Credit Risk Exposure Methodology team.
London31.03.2020
Global investment bank seeks a VP level Equities Pricing Model Validation Quant.
London31.03.2020
Alex Riedl's picture
Principal Consultant
London + 44 20 7092 0103 | ariedl@morganmckinley.com