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Quantitative Risk Analyst
£50,000 - £55000  + Bonus + Benefits
Central London

THE COMPANY

Growing London operation of international banking group with global assets $20billion. The business comprises FX/MM, commercial and wholesale banking together with retail activities. No equity trading is undertaken.

THE ROLE

Reporting to the Chief Risk Officer, the role is to ensure the completion of the bank's IFRS 9 project and continued ongoing observance. You will be a high standard performer that enjoys working in a dynamic and small team and you have the ability to work unsupervised, to tight deadlines and to withstand occasionally high pressure demands. The role will involve the following:

  • Developing well-structured model documentation and robust testing procedures and executing the same;
  • Statistical analysis of data sets;
  • Simulation-based modelling using techniques such as Monte-Carlo and Markov processes;
  • Excel Spreadsheet creation for semi-production environments;
  • Data visualisation and selection of charts to ensure informed decision making;
  • Review of Low Default portfolios such as HNWI, Corporate, CRE and Sovereigns;
  • Impairment Calculations, Data Buffett, Risk Calculations, Risk Analyst and Credit Lens.

EXPERIENCE AND SKILLS REQUIRED

To be considered for this role you should meet the following criteria:

  • Intermediate level graduate with 3 to 6 years' commercial experience
  • Experience in a banking or financial institution, including regulatory calculations and production of management information and reports
  • Capable of developing well-structured model documentation and robust testing procedures, and of executing same
  • Intermediate statistical analysis of data sets - percentiles, QQ plots, expected shortfall, ANOVA, etc.
  • Direct experience of simulation-based modelling approaches including Monte-Carlo techniques, Markov processes and transition matrices
  • Skilled with Microsoft Excel, including creation of spread sheets with embedded error checking for use in semi-production environments
  • Skilled in the visualization of data, and selecting the appropriate chart types to inform decision-making
  • Exposure to the "R" statistical analysis package and R-studio environment, and (optionally) the "tidyr" data cleansing package
  • Exposure to data mining tools such as Tableau or Pentaho, or to associated code libraries such as Pandas (in Python) is desirable
  • Exposure to Low Default portfolios such as HNWI, Corporate, CRE and Sovereigns as retail portfolios brings about quite a different skillset and mindset in general.
  • Moody's Exposure with respect to the following: Impairment Calc, Data Buffett, Risk Calc, Risk Analyst and Credit Lens
  • Good communication skills, and the ability to explain technical matters in business terms to a non-technical audience
  • Consistent high quality output and performance. Ability to contribute positively to small, close team and establish good working relationships with relevant parties and colleagues.