Quantitative Analyst - Vice President

Job Summary & Responsibilities

This role is a 6 month rolling contract inside IR35, with a minimum of 50% travel into the London office a month.

The principal requirement of the role is to carry out quantitative analysis of potential counterparty credit risk model changes proposed in the context of regulatory or business requirements. Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Prototype implementation, documentation and presentation of results are integral parts of the task. General understanding of the wider counterparty credit risk modelling framework, in addition to strong Python and writing skills are thus required.

Accordingly, the role does require a solid background in counterparty credit risk (preferred). Continuous interaction with other teams in RISK, Risk Systems and Front Office will call for strong communication skills.

Working in close partnership with quantitative analysts within SIGMA, analysts with Risk Systems and backtesting team members, as well as other stakeholders in RISK, the successful candidate will be expected to:

· Contribute to the delivery of regulatory projects focused around the CCR metrics. This includes gathering and documenting requirements, considering all stakeholders' interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance and regulatory processes.

· Investigate, analyse and design the metrics, reporting requirements and report structure, respecting the aims of accurately capturing risks whilst considering regulatory, system or other environmental constraints.

· Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment.

· Ensure the methods are adequately documented to support internal reviews and validation by internal auditors or regulators, by providing sufficient developmental evidence (i.e. materially studies, description of assumptions, bench marking against external methodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation teams.

Our requirements

To be successful in this role, the candidate should meet the following requirements:

· A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance.

· Proven experience in a quantitative finance environment - counterparty risk.

· Good knowledge of derivatives, their risk drivers and pricing models.

· Track record of quantitative models implementation, using C# or C++, in a source-controlled environment.

· Ability to contribute and operate with minimum level of supervision.

This role will expose the candidate to a wide range of professionals within the bank. Accordingly, he / she will also require good communication skills (both written and verbal) and the ability to work proactively and as part of a multi-disciplinary team.

Carbon60, Lorien & SRG - The Impellam Group STEM Portfolio are acting as an Employment Business in relation to this vacancy.