FRTB - Quantitative Analyst Contract

FRTB - Quantitative Analyst (contractor)

The team's remit includes all the IMM models in use within the Bank, such as VaR / ES, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space.

Job Summary & Responsibilities

The principle requirement of the role is to:

• Ensure existing Credit VaR Models function under FRTB (e.g. in an Expected Shortfall context)
• Identify and escalate possible rectification actions (such as data remediation)
• Carry out quantitative analysis of potential market risk model changes deemed essential under the new regulation.

Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Implementation in the joint Risk and Front Office (FO) Library, documentation and presentation of results are integral parts of the task. General understanding of the wider market risk modelling framework, in addition to strong C# and writing skills are thus required.

Accordingly, the role does require a solid quantitative background in market risk (preferred) or derivative pricing, with proven exposure to Credit / Repo products. Continuous interaction with other teams in RISK and FO will call for strong communication skills.

Role:

• Contribute to the delivery of this methodology project, 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 risk method, 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 evidences (i.e. materiality studies, description of assumptions, benchmarking against external methodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation teams.