Quantitative Risk Analyst

Quantitative Risk Analyst

SEFE Marketing & Trading

London, United Kingdom

IN SHORT

In the role the analyst has repsonsibility for delivery of key projects, and a mentoring role to other analysts. The team fulfils three main functions in SEFE. Firstly, the role must ensure the independent validation of relevant valuation and exposure models developed by commerical teams and used by Risk Management & Middle Office in Economic valuations, on the Balance sheet, or in Risk Models. Secondly, Quantitative Risk Models must be developed, maintained and documented as required. Lastly, support must be provided on quantitative topics to the rest of Risk Management & Middle Office as needed.

WHAT WILL YOU DO

• Maintain appropriate documentation for SEFE Risk Management models.
• Develop, test and maintain relevant Risk models and methodologies required to support the SEFE Group Risk Framework, including MVaR, CMaR, CVaR, PFE.
• Deliver independent review/validation or relevant valuation and exposure models (P&L and Balance Sheet related).
• Ensure quantitative concepts are clearly understood and appropriately implemented by SEFE Risk Management and Middle Office.
• Manage response to investigation of quantitative aspects of valuation during external audit or third party assurance projects.
• Mentor other analysts in the team, leading in establishing standards and best practice for technical aspects of the team.
• Support Head of Quantitiative Risk with team development and recruitment.

WHAT WILL YOU BRING

• Master's degree or similar qualification in Maths or Physics to degree level essential. Post graduate qualification in a Financial modelling highly advantageous.
• Strong understanding of valuation methodologies and risk metric calculation as applied to derivatives trading.
• In-depth knowledge of probability theory, stochastic calculus, time series and differential equation techniques to financial problems.
• In-depth understanding of Monte Carlo risk modelling methodologies – Market and Credit VaR, PFE and EaR.
• High level of attention to detail to challenge analysis and methodologies to identify weaknesses and limitations to improve results/approaches.
• Extensive knowledge of coding languages, preferably Python and C#.
• Communication of complicated concepts in a simple way to non-expert stakeholders, and explain the relevance of highly technical analysis.
• Management of concurrent diverse projects with ability to adapt to new topics not previously encountered.
• Experience of valuation methodologies and risk metric models for derivatives products.
• Experience of developing and maintaining Market and Credit risk models using Monte Carlo techniques.