Quantitative Risk Analyst

Role Purpose:
To develop and implement quantitative models used to measure, monitor and manage financial risk exposure (market, credit and liquidity risk) by using database and Murex outputs.

Responsibilities and work outputs:

- Design input data templates to be used in the financial risk measurement process.
- Design and implement processes to source input information from internal risk systems to support financial risk measurement.
- Design and implement process to source market information from external vendors to track financial metric performance.
- Develop and implement quantitative tools to measure and stress financial risks using computational programming tools.
- Design, develop and maintain a database to store market and financial risk metrics to track risk exposures.
- Design reporting tools to extract data from database to develop insight t=into risk exposure changes over time.
- Automate internal risk measurement, monitoring and reporting process used in the risk management function.
- Validate financial instrument valuation and curve construction as used in our Murex system.

Experience and Qualifications:

- Quantitative Degree, Honours or Master degree with the following majors:
- Financial Engineering/ Mathematics/ Actuarial Science
- Computer Science
- At least 4 years of building, implementing and using quantitative finance models
- Understanding and knowledge of financial instruments valuation and risk measurement
- Experience in programming and development of financial models in the following programming languages: C#, Java, Python or Visual Basic
- Large data mining and manipulation in SQL
- Database design, development and management skills, SQL
- Strong Microsoft office suite skills, Word, Excel and PowerPoint
- Report writing and presentation skills